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"Continuous-Time Markov-Switching GARCH Process with Robust State Path ..."

Yinan Li, Fang Liu (2021)

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DOI: 10.1007/978-3-030-86486-6_23

access: closed

type: Conference or Workshop Paper

metadata version: 2021-09-20

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  - conf/pkdd/LiL21
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Yinan Li, Fang Liu:
Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation. ECML/PKDD (1) 2021: 370-387

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