Long memory of financial time series and hidden Markov models with time‐varying parameters
Peter Nystrup, Henrik Madsen and Erik Lindström
| 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
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| Subject: | hidden Markov models | daily returns | long memory | adaptive estimation | time‐varying parameters | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2447 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860941