Novel advancements in the Markov chain stock model: analysis and inference
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DOI: 10.1007/s10436-017-0297-9
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Cited by:
- Guglielmo D'Amico & Riccardo De Blasis, 2020. "A review of the Dividend Discount Model: from deterministic to stochastic models," Papers 2001.00465, arXiv.org.
- D'Amico, Guglielmo & De Blasis, Riccardo, 2024. "Dividend based risk measures: A Markov chain approach," Applied Mathematics and Computation, Elsevier, vol. 471(C).
- Riccardo De Blasis, 2020. "The price leadership share: a new measure of price discovery in financial markets," Annals of Finance, Springer, vol. 16(3), pages 381-405, September.
- Guglielmo D’Amico & Ada Lika & Filippo Petroni, 2019. "Change point dynamics for financial data: an indexed Markov chain approach," Annals of Finance, Springer, vol. 15(2), pages 247-266, June.
- Guglielmo D’Amico & Alex Karagrigoriou & Veronica Vigna, 2024. "Forecasting the Power Generation Mix in Italy Based on Grey Markov Models," Energies, MDPI, vol. 17(9), pages 1-16, May.
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More about this item
Keywords
Dividend; Nonparametric estimator; Asymptotic properties; Forecasting;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
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