Hidden Markov models and their applications in finance

Hidden Markov models and their applications in finance

Hidden Markov Models, usually referred to as HMMs, are one of the most successful concepts in statistical modeling conceived and analyzed in the last 40 years. They belong to the stochastic mixture models family and have been broadly implemented in numerous sectors to address the problem of data mod...

Full description

Saved in:
Bibliographic Details
Main Author: Πετρόπουλος, Αναστάσιος
Other Authors: Ξανθόπουλος, Στυλιανός
Language:English
Published: 2015
Subjects:
Κρυμμένα μαρκοβιανά μοντέλα
Student’s-t distribution
Volatility modeling
Expectation-maximization
Basel framework
Corporate credit rating
Hidden Markov model
Statistical machine learning
Temporal dynamics
Variable order
Dependence jumps
Finance > Mathematical models
Markov processes
Online Access:https://catalog.lib.aegean.gr/iguana/www.main.cls?surl=search&p=ed763fb5-024d-4d04-a952-e71cbf110eaa#recordId=1.110516
http://hdl.handle.net/11610/10767
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://catalog.lib.aegean.gr/iguana/www.main.cls?surl=search&p=ed763fb5-024d-4d04-a952-e71cbf110eaa#recordId=1.110516
http://hdl.handle.net/11610/10767

Similar Items