Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models

DOI10.1080/15598608.2008.10411898zbMath1211.62180OpenAlexW1987387626MaRDI QIDQ2431710

Mohamed Saidane, Christian Lavergne

Publication date: 18 April 2011

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2008.10411898

zbMATH Keywords

HMMEM algorithmtime seriesconditional heteroskedasticityforecastingsegmentationlatent factor models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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