Modelling financial time series with switching state space models

Keyphrases

• Financial Time Series 100%
• Switching State-space Model 100%
• Benchmarking Method 33%
• Hidden Markov Model 33%
• Variational EM Algorithm 33%
• Linear Dynamical Systems 33%
• Stationary Regime 33%
• Financial Markets 33%
• Stationary Model 33%
• Hybrid Switching 33%
• Non-stationarity 33%
• Financial Data 33%
• Dynamic Switching 33%

Mathematics

• Space Model 100%
• Hidden Markov Model 33%
• EM Algorithm 33%
• Linear Dynamical Systems 33%
• Stationarity 33%