Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series
Antonello Maroutti, Antonio Punzo, Luca Bagnato
| Year of publication: |
2019
|
|---|---|
| Authors: | Maruotti, Antonello ; Punzo, Antonio ; Bagnato, Luca |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 1, p. 91-117
|
| Subject: | daily returns | elliptical distributions | EM algorithm | hidden Markov model | hiddensemi-Markov model | kurtosis | multivariate time series | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054429