Long memory of financial time series and hidden Markov models with time‐varying parameters
Year of publication: |
December 2017
|
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Authors: | Nystrup, Peter ; Madsen, Henrik ; Lindström, Erik |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 8, p. 989-1002
|
Subject: | hidden Markov models | daily returns | long memory | adaptive estimation | time‐varying parameters | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
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