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Time series clustering based on latent volatility mixture modeling with applications in finance.
F. Setoudehtazangi
T. Manouchehri
A. R. Nematollahi
Massimiliano Caporin
Published in:
Math. Comput. Simul. (2024)
Keyphrases
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mixture modeling
stock price
stock market
financial markets
financial time series
garch model
turning points
density estimation
mixture model
em algorithm
multivariate time series
non stationary
exchange rate
latent variables
gaussian mixture model
financial data
probabilistic model