Clustering financial time series : new insights from an extended hidden Markov model
Year of publication: |
2015
|
---|---|
Authors: | Dias, José G. ; Vermunt, Jeroen K. ; Ramos, Sofia B. |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 243.2015, 3 (16.6.), p. 852-864
|
Subject: | Data mining | Hidden Markov model | Stock indexes | Latent class model | Regime-switching model | Markov-Kette | Markov chain | Theorie | Theory | Aktienindex | Stock index | Zeitreihenanalyse | Time series analysis | Data Mining | Schätzung | Estimation | Volatilität | Volatility | Clusteranalyse | Cluster analysis | Börsenkurs | Share price | ARCH-Modell | ARCH model |
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