Hidden Markov models with t components. Increased persistence and other aspects

Quantitative Finance

Volumn 11, Issue 3, 2011, Pages 459-475

  Bulla, Jan ^a  

^a UNIVERSITÉ DE CAEN   (France)

Author keywords

Daily returns; Hidden Markov model; Markov switching model; State persistence; t distribution

Indexed keywords

EID: 79951666885     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697681003685563     Document Type: Article

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