MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the … is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …