Regime switching volatility calibration by the Baum-Welch method (Q989132)

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Regime switching volatility calibration by the Baum-Welch method
scientific article

    Statements

    title
    Regime switching volatility calibration by the Baum-Welch method (English)
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    author
    Sovan Mitra
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    Paresh Date
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    publication date
    27 August 2010
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    zbMATH Keywords
    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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    describes a project that uses
    Matlab
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    hmm
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    Statistics Toolbox
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62M20
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    62P05
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    zbMATH DE Number
    5775761
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    OpenAlex ID
    W2047209971
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    arXiv ID
    0904.1500
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