The hidden Markov model (HMM) is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for...

Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five important factors of a stock are identified and...

The study investigates the causal relationship between inflation and inflation uncertainty in Vietnam over the period 1995-2010. Inflation uncertainty is modeled by both symmetric model (GARCH(1,1)) and asymmetric models (TARCH(1,1), PARCH(1,1), EGARCH(1,1)). Based on three information criteria...

Compared with other capital markets around the world, Vietnam’s capital market has a relatively short history of only 20 years. In that time, however, the Vietnamese capital market has transformed—from a small market with limited products and capitalization at 1% of GDP in 2000 into a market...

The hidden Markov model (HMM) is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for...

Hidden Markov model (HMM) is a powerful machine-learning method for data regime detection, especially time series data. In this paper, we establish a multi-step procedure for using HMM to select stocks from the global stock market. First, the five important factors of a stock are identified and...

We analyze project choice in the motion pictures industry and find evidence consistent with revenue maximization and excessive hedging. We focus on the production of violent films and films that feature sex and violence. We find that such movies do not provide excess returns, but they increase...

The large literature on the impact of advertising on consumers and firm behavior in marketing and economics has tried to distinguish between the informative and the persuasive roles of advertising. The extant literature typically uses advertising expenditure and implicitly assumes that...

This paper presents a model of contracts for the sale of intellectual property. We explain why many intellectual property contracts are contingent on eventual production or success, even without moral hazard on the part of risk-averse sellers. Our explanation is based on differences of opinion...