Regime switching volatility calibration by the Baum-Welch method (Q989132): Difference between revisions
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Revision as of 14:31, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regime switching volatility calibration by the Baum-Welch method |
scientific article |
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Regime switching volatility calibration by the Baum-Welch method (English)
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27 August 2010
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regime switching
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stochastic volatility
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calibration
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Hamilton filter
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Baum-Welch
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