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Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
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Detecting change points in VIX and S&P 500 : a new approach to dynamic asset allocation
Nystrup, Peter; Hansen, Bo William; Madsen, Henrik; … - In: The journal of asset management 17 (2016) 5, pp. 361-374
Persistent link: https://www.econbiz.de/10011634685
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What drives cryptocurrency returns? : a sparse statistical jump model approach
Cortese, Federico P.; Kolm, Petter N.; Lindström, Erik - In: Digital finance : smart data analytics, investment … 5 (2023) 3/4, pp. 483-518
Persistent link: https://www.econbiz.de/10014451868