Conditionally heteroscedastic factorial HMMs for time series in finance

DOI10.1002/asmb.687zbMath1164.62054OpenAlexW4248349515MaRDI QIDQ3607871

Mohamed Saidane, Christian Lavergne

Publication date: 28 February 2009

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.687

zbMATH Keywords

EM algorithmfinancedynamic factor analysisswitching Kalman filterGPB approximationGQARCH processes

Mathematics Subject Classification ID

Related Items (6)

Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models ⋮ A structured variational learning approach for switching latent factor models ⋮ An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models ⋮ Insurance claims modulated by a hidden Brownian marked point process ⋮ Forecasting portfolio-Value-at-Risk with mixed factorial hidden Markov models ⋮ Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models

Cites Work

• Spearman and the origin and development of factor analysis
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Conditionally heteroscedastic factorial HMMs for time series in finance