Conditionally heteroscedastic factorial HMMs for time series in finance

DOI10.1002/ASMB.687zbMATH Open1164.62054OpenAlexW4248349515MaRDI QIDQ3607871FDOQ3607871

Authors: 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

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zbMATH Keywords

EM algorithmfinancedynamic factor analysisswitching Kalman filterGPB approximationGQARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

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• Spearman and the origin and development of factor analysis

Cited In (10)

• Assessing the forecasting accuracy of the conditionally heteroskedastic latent factor model
• Latent class models for financial data analysis: some statistical developments
• Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
• Clustering financial time series: new insights from an extended hidden Markov model
• An EM-Based Viterbi Approximation Algorithm for 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
• A structured variational learning approach for switching latent factor models
• Insurance claims modulated by a hidden Brownian marked point process
• An automated financial indices-processing scheme for classifying market liquidity regimes

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