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Simulation-based sequential analysis of Markov switching stochastic volatility models.
Carlos M. Carvalho
Hedibert Freitas Lopes
Published in:
Comput. Stat. Data Anal. (2007)
Keyphrases
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probabilistic model
case study
long term
statistical analysis
parameter estimation
complex systems
stochastic processes
genetic algorithm
stock market
computational models
historical data
stochastic process
stochastic models