A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model

DOI10.1080/07350015.2017.1415910zbMath1548.62544MaRDI QIDQ6634899

Luc Bauwens, Maciej Augustyniak, Arnaud Dufays

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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