Parameter estimation via regime switching model for high frequency data (Q4624622)
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scientific article; zbMATH DE number 7028831
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| English | Parameter estimation via regime switching model for high frequency data |
scientific article; zbMATH DE number 7028831 |
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Parameter estimation via regime switching model for high frequency data (English)
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22 February 2019
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high frequency data
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regime switching
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filtering algorithm
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Kim smoothing algorithm
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parameter estimation
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prediction
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0.723750114440918
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0.7207671403884888
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0.720046877861023
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