Change point dynamics for financial data: an indexed Markov chain approach
DOI10.1007/s10436-018-0337-0zbMath1417.91564OpenAlexW2897987439WikidataQ129088935 ScholiaQ129088935MaRDI QIDQ2000694
Filippo Petroni, Ada Lika, Guglielmo D'Amico
Publication date: 28 June 2019
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-018-0337-0
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Actuarial science and mathematical finance (91G99)
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