Rapid detection of the switching point in a financial market structure using the particle filter
DOI10.1080/00949655.2013.781603zbMATH Open1453.62710OpenAlexW1987784686WikidataQ111620767 ScholiaQ111620767MaRDI QIDQ5219476FDOQ5219476
Yoshihiro Yura, M. Takayasu, Kazuyuki Nakamura, H. Takayasu
Publication date: 12 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2013.781603
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
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Recommendations
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- Evaluation of recursive detection methods for turning points in financial time series 👍 👎
- Switching processes in financial markets 👍 👎
- Markov Switching Models in Empirical Finance 👍 👎
- An Introduction to Particle Methods with Financial Applications 👍 👎
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