Asset pricing using trading volumes in a hidden regime-switching environment
type: Item
instance of: scholarly article
title: Asset pricing using trading volumes in a hidden regime-switching environment
zbMATH Open document ID: 1368.91170
author: Robert J. Elliott
author: Tak Kuen Siu
published in: Asia-Pacific Financial Markets
publication date: 2017-08-17T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6761420
zbMATH Keywords: asset pricing
zbMATH Keywords: trading volumes
zbMATH Keywords: hidden Markov models
zbMATH Keywords: filtering
zbMATH Keywords: Esscher transform
zbMATH Keywords: PDIE
MaRDI profile type: Publication
full work available at URL: s10690-014-9197-4
OpenAlex ID: W2143252561
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DOI: 10.1007/S10690-014-9197-4
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description: scientific article; zbMATH DE number 6761420