This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …-based algorithm is presented for the method which demonstrated that we are able to estimate a class of models in which the probability …

with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …

Extreme learning machine (ELM) allows for fast learning and better generalization performance than conventional … gradient-based learning. However, the possible inclusion of non-optimal weight and bias due to random selection and the need … learning framework combining the advantages of ELM and CRO, called extreme learning with chemical reaction optimization (ELCRO …

We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and …