Modelling Volatility Dynamics and Comovements in Financial Markets within a Mixed-State Factor Analysis Framework

Acte de colloque

Mohamed Saidane et Christian Lavergne

FORECASTING FINANCIAL MARKETS: ADVANCES FOR EXCHANGE RATES, INTEREST RATES AND ASSET MANAGEMENT (Aix-en-Provence, France, 31/05/2006–02/06/2006)

Résumé

Hidden Markov Factor Analysis

Conditional Heteroskedasticity

GQARCH

Kalman Filtering

EM Algorithm

Financial Markets

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Titre: Modelling Volatility Dynamics and Comovements in Financial Markets within a Mixed-State Factor Analysis Framework
Créateurs - sans rôle: Mohamed Saidane - Université de Montpellier, Institut Montpelliérain Alexander Grothendieck - IMAG
Christian Lavergne - Université de Montpellier, Institut Montpelliérain Alexander Grothendieck - IMAG
Colloque: FORECASTING FINANCIAL MARKETS: ADVANCES FOR EXCHANGE RATES, INTEREST RATES AND ASSET MANAGEMENT (Aix-en-Provence, France, 31/05/2006–02/06/2006)
Identifiants: 9946998109311
Unité académique: Institut Montpelliérain Alexander Grothendieck - IMAG
Langue: English
Type de ressource: Conference proceeding
Champs locaux: hal-04098216