Development and Application of Hidden Markov Models in the Bayesian Framework
This thesis develops new hidden Markov models and applies them to financial market and macroeconomic time series. Chapter 1 proposes a probabilistic model of the return distribution with rich and heterogeneous intra-regime dynamics. It focuses on the characteristics and dynamics of bear market ralli...
| Main Author: | |
|---|---|
| Other Authors: | |
| Language: | en_ca |
| Published: |
2011
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/1807/31944 |