State-Space Models Applications in Economics and Finance /

• Corporate Author: SpringerLink (Online service)
• Other Authors: Zeng, Yong. (Editor), Wu, Shu. (Editor)
• Format: Electronic
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2013.
• Series: Statistics and Econometrics for Finance ; 1
• Subjects: Statistics.; Mathematical statistics.; Economics > Statistics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistical Theory and Methods.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-1-4614-7789-1

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-s...

Table of Contents:

• Particle Filtering and Parameter Learning in Nonlinear State-Space Models
• Linear State-Space Models in Macroeconomics and Finance
• Hidden Markov Models, Regime-Switching, and Mathematical Finance
• Nonlinear State-Space Models for High Frequency Financial Data
• Index.