Clustering financial time series : new insights from an extended hidden Markov model
José G. Dias; Jeroen K. Vermunt; Sofia Ramos
| Year of publication: |
2015
|
|---|---|
| Authors: | Dias, José G. ; Vermunt, Jeroen K. ; Ramos, Sofia B. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 243.2015, 3 (16.6.), p. 852-864
|
| Subject: | Data mining | Hidden Markov model | Stock indexes | Latent class model | Regime-switching model | Markov-Kette | Markov chain | Data Mining | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Schätzung | Estimation | ARCH-Modell | ARCH model | Aktienindex | Stock index | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010513848