Holdings of financial assets: a Markov chain analysis

DOI10.1016/0167-7152(82)90011-6zbMath0486.62105OpenAlexW2047227899MaRDI QIDQ1164949

John S. Anderson, Kenneth W. Clements

Publication date: 1982

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://ecompapers.biz.uwa.edu.au/paper/PDF%20of%20Discussion%20Papers/1981/81-05.pdf

zbMATH Keywords

Markov chainaggregate time series datafinancial asset holdingmaximum likelihood estimation of transition probabilitiesmultivariate stock adjustment model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84) Mathematical economics (91B99)

Cites Work

• Statistical Inference about Markov Chains
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