Stylized facts of financial time series and hidden semi-Markov models (Q1010564)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Stylized facts of financial time series and hidden semi-Markov models |
scientific article |
Statements
Stylized facts of financial time series and hidden semi-Markov models (English)
0 references
6 April 2009
0 references
daily return series
0 references
hidden Markov model
0 references
hidden semi-Markov model
0 references
sojourn time distribution
0 references
EM algorithm
0 references
right-censoring
0 references
0 references
0 references