Asset pricing using trading volumes in a hidden regime-switching environment
Year of publication: |
2015
|
---|---|
Authors: | Elliott, Robert J. ; Siu, Tak Kuen |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 2, p. 133-149
|
Subject: | Asset pricing | Trading volumes | Hidden Markov models | Filtering | Esscher transform | PDIE | Theorie | Theory | Markov-Kette | Markov chain | Handelsvolumen der Börse | Trading volume | CAPM | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
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