Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series
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- Patrick Assonken & G. S. Ladde, 2015. "Option Pricing With A Levy-Type Stochastic Dynamic Model For Stock Price Process Under Semi-Markovian Structural Perturbations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-72, December.
- Bulla, Jan & Bulla, Ingo & Nenadic, Oleg, 2010. "hsmm -- An R package for analyzing hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 54(3), pages 611-619, March.
- repec:eee:pacfin:v:44:y:2017:i:c:p:127-149 is not listed on IDEAS
More about this item
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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