Stylized facts of financial time series and hidden semi-Markov models Nonlinear modelling and financial econometrics
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| Published in | Computational statistics & data analysis Vol. 51; no. 4; pp. 2192 - 2209 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier Science
2006
|
| Subjects | |
| Online Access | Get full text |
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| Author | BULLA, Jan BULLA, Ingo |
|---|---|
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| Issue | 4 |
| Keywords | Autocorrelation function Data analysis Time series Hidden semi-Markov model Daily variation Markov model Sojourn time distribution Daily return series Right-censoring Statistical computation Hidden Markov models Hidden Markov model Autocorrelation EM algorithm |
| Language | English |
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| SubjectTerms | Applications Exact sciences and technology General topics Insurance, economics, finance Mathematics Multivariate analysis Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Probability and statistics Sciences and techniques of general use Statistics |
| Subtitle | Nonlinear modelling and financial econometrics |
| Title | Stylized facts of financial time series and hidden semi-Markov models |
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