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About this product
- DescriptionThis book explores developments in state-space models and their applications in economics and finance. Coverage includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, and continuous- or discrete-time state processes.
- Author BiographyYong Zeng is a professor in Department of Mathematics and Statistics at University of Missouri at Kansas City. His main research interest includes mathematical finance, financial econometrics, stochastic nonlinear filtering, and Bayesian statistical analysis. Notably, he developed the statistical analysis via filtering for financial ultra-high frequency data, where the model can be viewed as a random-arrival-time state space model. He has published in Mathematical Finance, International Journal of Theoretical and Applied Finance, Applied Mathematical Finance, IEEE Transactions on Automatic Control, Statistical Inference for Stochastic Processes, among others. He held visiting associate professor positions at Princeton University and the University of Tennessee. He received his B.S. from Fudan University in 1990, M.S. from University of Georgia in 1994, and Ph.D. from University of Wisconsin at Madison in 1999. All degrees were in statistics.Shu Wu is an associate professor in Department of Economics at University of Kansas. His main research areas are empirical macroeconomics and finance. He has held visiting positions at Federal Reserve Bank at Kansas City, City University of Hong Kong. His publications have appeared in Journal of Monetary Economics, Journal of Money, Credit and Banking, Macroeconomic Dynamics, International Journal of Theoretical and Applied Finance, Journal of International Financial Markets, Institutions and Money, Handbook of Quantitative Finance and Risk Management, Hidden Markov Models in Finance among others. He received his Ph.D. in economics from Stanford University in 2000.
- PublisherSpringer-Verlag New York Inc.
- Date of Publication13/08/2013
- Series TitleStatistics and Econometrics for Finance
- Series Part/Volume Number1
- Place of PublicationNew York, NY
- Country of PublicationUnited States
- ImprintSpringer-Verlag New York Inc.
- Content Note30 Tables, black and white; XXI, 347 p.
- Weight719 g
- Width155 mm
- Height235 mm
- Edited byShu Wu,Yong Zeng
- Edition Statement2013 ed.
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