Hidden Markov models with t components. Increased persistence and other aspects
Year of publication: |
2010
|
---|---|
Authors: | Bulla, Jan |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2010, 3, p. 459-475
|
Publisher: |
Taylor & Francis Journals |
Subject: | Hidden Markov model | Markov-switching model | State persistence | t-distribution | Daily returns |
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