Hidden Markov Models: Applications to Financial Economics [1 ed.] 1402078994, 9781402078996, 9781402079405

Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variable

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English Pages 162 [179] Year 2004

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Table of contents :
Introduction....Pages 1-27
Volatility in Growth Rate of Real GDP....Pages 29-39
Linkages Among G7 Stock Markets....Pages 41-53
Interplay between Industrial Production and Stock Market....Pages 55-79
Linking Inflation and Inflation Uncertainty....Pages 81-115
Exploring Permanent and Transitory Components of Stock Return....Pages 117-126
Exploring the Relationship between Coincident Financial Market Indicators....Pages 127-144

Hidden Markov Models: Applications to Financial Economics [1 ed.]
 1402078994, 9781402078996, 9781402079405

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