Modeling local trends with regime shifting models with time-varying probabilities
Sergio M. Focardi, Frank J. Fabozzi, Davide Mazza
| Year of publication: |
2019
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|---|---|
| Authors: | Focardi, Sergio M. ; Fabozzi, Frank J. ; Mazza, Davide |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 66.2019, p. 1-11
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| Subject: | Duration-dependent Markov switching models | Hidden Markov models | Momentum | Regime shifting | Return models | Reversals | Markov-Kette | Markov chain | Volatilität | Volatility | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.06.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012208942