Asset pricing using trading volumes in a hidden regime-switching environment

Robert J. Elliott; Tak Kuen Siu

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 \| Markov-Kette \| Markov chain \| Handelsvolumen der Börse \| Trading volume \| Theorie \| Theory \| CAPM \| Börsenkurs \| Share price \| Stochastischer Prozess \| Stochastic process

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