Expectile hidden Markov regression models for analyzing cryptocurrency returns

DOI10.1007/S11222-023-10377-2MaRDI QIDQ6494403zbMATH OpenWikidataFDO

Authors L. Merlo, Lea Petrella

Publication date 30 April 2024

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11222-023-10377-2

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

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Cited in

(3)

• Hidden Markov graphical models with generalized hyperbolic distributions: a financial analysis on commodities and green energy indexes
• Hidden Markov Quantile Graphical Models
• Multivariate Markov switching Stingo, Francesco Claudio models: filtering, estimation and data analysis

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