Copula based multivariate semi-Markov models with applications in high-frequency finance.
Guglielmo D'AmicoFilippo PetroniPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- markov models
- high frequency
- dependence structure
- low frequency
- markov model
- hidden markov models
- maximum entropy
- higher order
- high resolution
- high frequencies
- subband
- wavelet transform
- conditional random fields
- wavelet coefficients
- high frequency components
- discrete wavelet transform
- undirected graph
- multiresolution
- high quality
- feature extraction
- computer vision