Hello all,
my task is to estimate parametres of markov chain model basing on real economic data. Does anyone have any idea what sort of data would be suitable for such a model? Thanks in advance.
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Hello all,
my task is to estimate parametres of markov chain model basing on real economic data. Does anyone have any idea what sort of data would be suitable for such a model? Thanks in advance.
Interest rate models and financial instruments of such interest rates such as options, stocks, and other assets.Quote:
Originally Posted by zhukov
The Black-Derman-Toy model can be modeled using Markov Chains too.
And where to find apropriate statistical data? The model doesn't have to be excessively complicated. After all, it's just a simple homework :).