Hidden Markov models: applications to financial economics

"Markov chains have increasingly become a useful way of capturing the stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been...

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Main Author: Bhar, Ramaprasad.
Other Authors: Hamori, Shigeyuki, 1959-
Format: Book
Language: English
Published: Boston, Mass. : Kluwer Academic Publishers, 2004.
Series: Advanced studies in theoretical and applied econometrics ; v. 40.