Regime switching volatility calibration by the Baum-Welch method (Q989132): Difference between revisions
From MaRDI portal
Revision as of 02:51, 3 July 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
0 references
0 references