Distribution switching in financial time series

Mathematics and Computers in Simulation

Volumn 79, Issue 5, 2009, Pages 1711-1720

  Fukuda, Kosei ^a  

^a NIHON UNIVERSITY   (Japan)

Author keywords

Bayesian information criterion; Cauchy distribution; Data based simulation; Distribution switching

Indexed keywords

BAYESIAN NETWORKS; FINANCIAL DATA PROCESSING; TIME SWITCHES; TRELLIS CODES;

BAYESIAN INFORMATION CRITERION; BAYESIAN INFORMATION CRITERIONS; CAUCHY DISTRIBUTION; CAUCHY MODELS; DATA-BASED SIMULATION; DISTRIBUTION SWITCHING; FINANCIAL TIME SERIES; GAUSSIAN MODELS; GAUSSIAN PROCESSES; GLOBAL MODELS; GOODNESS OF FITS; LOCAL MODELS; REGIME SWITCHES; TIME SERIES;

PROBABILITY DISTRIBUTIONS;

EID: 57649109624     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2008.08.012     Document Type: Article

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