Empirical Performance and Asset Pricing in Hidden Markov Models (Q4434427)
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scientific article; zbMATH DE number 2001496
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical Performance and Asset Pricing in Hidden Markov Models |
scientific article; zbMATH DE number 2001496 |
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Empirical Performance and Asset Pricing in Hidden Markov Models (English)
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6 November 2003
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Markov switching model
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stochastic volatility model
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leptokurtic
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cluster phenomenon
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long memory
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volatility smile
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European options
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likelihood estimation
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EM algorithm
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