Thread: markov chains- estimation

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.

Originally Posted by zhukov

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.

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 .