Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

DOI10.1002/FOR.2447zbMath1397.60104OpenAlexW2521731852WikidataQ60398253 ScholiaQ60398253MaRDI QIDQ4687655

Henrik Madsen, Peter Nystrup, Erik Lindström

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://orbit.dtu.dk/en/publications/d87e577e-63df-4989-aaac-28203072db74

zbMATH Keywords

financial marketsadaptive estimationhidden statedaily returns

Mathematics Subject Classification ID

Economic time series analysis (91B84) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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