Analysis of exchange rates as time-inhomogeneous Markov chain with finite states

DOI10.1155/2022/3524808MaRDI QIDQ2138332zbMATH OpenOpenAlexFDO

Authors F. O. Mettle, Lydia Pomaa Boateng, Enoch Quaye, Emmanuel Kojo Aidoo, Issah Seidu

Publication date 11 May 2022

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2022/3524808

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3135399 (Why is no real title available?)
• scientific article; zbMATH DE number 1825241 (Why is no real title available?)
• A higher-order hidden Markov chain-modulated model for asset allocation
• Analysis of share prices as Markov chains with countably infinite states
• Application of a non-homogeneous Markov chain with seasonal transition probabilities to ozone data
• Construction of a semi-Markov model for the performance of a football team in the presence of missing data
• Ergodic theorems in demography
• On products of non-negative matrices
• STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET
• Stochastic modelling for evolution of stock prices by means of functional principal component analysis

Cited in

(2)

• Volatility analysis of exchange rate with correlated errors: a sliding data matrix approach
• A three-state Markov-modulated switching model for exchange rates

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