Conditionally heteroscedastic factorial HMMs for time series in finance
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Publication:3607871
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Cites work
Cited in
(10)- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
- Forecasting portfolio-value-at-risk with mixed factorial hidden Markov models
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
- An automated financial indices-processing scheme for classifying market liquidity regimes
- Assessing the forecasting accuracy of the conditionally heteroskedastic latent factor model
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models
- Latent class models for financial data analysis: some statistical developments
- Insurance claims modulated by a hidden Brownian marked point process
- Clustering financial time series: new insights from an extended hidden Markov model
- A structured variational learning approach for switching latent factor models
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