Regime switching volatility calibration by the Baum-Welch method (Q989132): Difference between revisions

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Regime switching volatility calibration by the Baum-Welch method
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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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