Stylized facts of financial time series and hidden semi-Markov models
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Publication:1010564
DOI10.1016/j.csda.2006.07.021zbMath1157.62518OpenAlexW2133332006MaRDI QIDQ1010564
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.021
EM algorithmhidden Markov modelright-censoringhidden semi-Markov modelsojourn time distributiondaily return series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)
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Cites Work
- Analysis of time series subject to changes in regime
- ARCH modeling in finance. A review of the theory and empirical evidence
- Fitting hidden semi-Markov models to breakpoint rainfall data
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Modeling asset returns with alternative stable distributions*
- A curious likelihood identity for the multivariate t-distribution
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
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