Regime switching volatility calibration by the Baum-Welch method (Q989132): Difference between revisions
From MaRDI portal
m rollbackEdits.php mass rollback Tag: Rollback |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2047209971 / rank | |||
Normal rank | |||
Revision as of 08:36, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Regime switching volatility calibration by the Baum-Welch method |
scientific article |
Statements
Regime switching volatility calibration by the Baum-Welch method (English)
0 references
27 August 2010
0 references
regime switching
0 references
stochastic volatility
0 references
calibration
0 references
Hamilton filter
0 references
Baum-Welch
0 references
