Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation.

Yinan Li Fang Liu

Published in: ECML/PKDD (1) (2021)

Keyphrases

markov chain
state space
robust estimation
markov processes
exchange rate
data sets
reinforcement learning
stock price
markov model
markov process
garch model
robust regression