| 书目名称 | State-Space Models | | 副标题 | Applications in Econ | | 编辑 | Yong Zeng,Shu Wu | | 视频video | | | 概述 | First comprehensive?? work to explore recent developments of state-space models in economics and finance.State-space modeling is taught in a wide range of subject areas from economics, finance, and st | | 丛书名称 | Statistics and Econometrics for Finance | | 图书封面 |  | | 描述 | .State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.. | | 出版日期 | Book 2013 | | 关键词 | Econometrics; Macroeconomics; Markov models; Regime-switching; State-space models; Stochastic models | | 版次 | 1 | | doi | https://doi.org/10.1007/978-1-4614-7789-1 | | isbn_softcover | 978-1-4899-9253-6 | | isbn_ebook | 978-1-4614-7789-1Series ISSN 2199-093X Series E-ISSN 2199-0948 | | issn_series | 2199-093X | | copyright | Springer Science+Business Media New York 2013 |
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发表于 2025-3-21 18:45:52
