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Markov Switching Models and their Applications in Finance

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Markov Switching Models and their Applications in Finance

Tuesdays 13:45 - 15:15 in 48-538

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Lecture

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News

February 22: A preliminary version of the lecture notes can be downloaded now. Extensions will follow bit by bit. 

 

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Lecture

Content: This lecture gives an introduction to Markov switching models in continuous time and hidden Markov models in a discrete time setting. Topics cover filtering and parameter estimation, inference and the modelling and prediction of financial time series with focus on asset price prediction and portfolio optimization, see Modulbeschreibung (in German).

Literature:

  • Bain, Crisan: Fundamentals of Stochastic Filtering
  • Cappé, Moulines, Rydén : Inferences in Hidden Markov Models
  • Elliott, Aggoun, Moore: Hidden Markov Models - Estimation and Control
  • Frühwirth-Schnatter: Finite Mixture and Markov Switching Models
  • Tsay: Analysis of Financial Time Series

Lecture notes: Maybe in arrear.

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