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Stochastic processes / Markov processes / Markov models / Markov chain / Martingale / Quadratic variation / Central limit theorem / Statistics / Probability theory / Martingale theory


A Martingale Decomposition of Discrete Markov Chains Peter Reinhard Hansen CREATES Research PaperDepartment of Economics and Business Aarhus University
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Document Date: 2015-04-28 07:38:00

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City

Wiley / /

Company

Princeton University Press / P. For / Russell / Princeton N.J. Hansen L. P. / Markov / /

Country

Italy / /

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Facility

European University Institute / Duke University / Villa San Paolo / /

Holiday

Assumption / /

Organization

Duke University / Danish National Research Foundation / Princeton University / Center for Research / Department of Economics / European University Institute / Department of Economics and Business Aarhus University Fuglesangs Allé / /

Person

James D. Hamilton / Juan Dolado / Mancini / /

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Position

discrete-state continuous-time model of financial transactions prices / author / /

ProvinceOrState

New York / /

PublishedMedium

Journal of Political Economy / Journal of Finance / Journal of Financial Economics / Economics Letters / Journal of Monetary Economics / Journal of Econometrics / Journal of Business & Economic Statistics / /

Technology

Simulation / /

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