Stylized facts of financial time series and hidden semi-Markov models (Q1010564)

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Stylized facts of financial time series and hidden semi-Markov models
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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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