Change Point Detection and Estimation of the Two-Sided Jumps of Asset Returns Using a Modified Kalman Filter
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- Ourania Theodosiadou & George Tsaklidis, 2021. "State Space Modeling with Non-Negativity Constraints Using Quadratic Forms," Mathematics, MDPI, vol. 9(16), pages 1-13, August.
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Keywords
positive-negative return jumps; Kalman filter; pdf truncation; change point detection;All these keywords.
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