Hidden Markov models with t components. Increased persistence and other aspects
Year of publication: |
2009-10
|
---|---|
Authors: | Bulla, Jan |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Hidden Markov model | Markov-switching model | state persistence | t-distribution | daily returns |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C22 - Time-Series Models ; E44 - Financial Markets and the Macroeconomy |
Source: |
-
Hidden Markov models with t components. Increased persistence and other aspects
Bulla, Jan, (2010)
-
Markov-switching Asset Allocation: Do Profitable Strategies Exist?
Bulla, Jan, (2010)
-
"Children of the HMM" : modeling longitudinal customer behavior at Hulu.com
Schwartz, Eric M., (2011)
- More ...
-
Markov-switching Asset Allocation: Do Profitable Strategies Exist?
Bulla, Jan, (2010)
-
Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series
Bulla, Jan, (2006)
-
Bulla, Jan, (2006)
- More ...