Conditionally heteroscedastic factorial HMMs for time series in finance

Journal article

Peer reviewed

Mohamed Saidane and Christian Lavergne

Applied Stochastic Models in Business and Industry, Vol.23, pp.503-529

2007

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Title: Conditionally heteroscedastic factorial HMMs for time series in finance
Creators - without role: Mohamed Saidane - Université de Montpellier, Institut Montpelliérain Alexander Grothendieck - IMAG
Christian Lavergne - Université de Montpellier, Institut Montpelliérain Alexander Grothendieck - IMAG
Publication Details: Applied Stochastic Models in Business and Industry, Vol.23, pp.503-529
Identifiers: 9935948309311
Academic Unit: Institut Montpelliérain Alexander Grothendieck - IMAG
Language: English
Resource Type: Journal article
Local Fields: hal-00193156