Stylized facts of financial time series and hidden semi-Markov models (Q1010564)
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scientific article; zbMATH DE number 5540553
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| English | Stylized facts of financial time series and hidden semi-Markov models |
scientific article; zbMATH DE number 5540553 |
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Stylized facts of financial time series and hidden semi-Markov models (English)
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6 April 2009
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daily return series
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hidden Markov model
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hidden semi-Markov model
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sojourn time distribution
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EM algorithm
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right-censoring
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0.8580377697944641
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0.7961637377738953
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0.7729180455207825
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0.7658410668373108
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0.762972891330719
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