Modeling volatility using state space models with heavy tailed distributions.

Frank M. de Pinho Glaura C. Franco Ralph S. Silva

Published in: Math. Comput. Simul. (2016)

Keyphrases

state space
modeling method
computational modeling
heavy tailed distributions
reinforcement learning
prior knowledge
complex systems
modeling framework
mathematical modeling
hidden markov models
formal models
artificial neural networks
statistical model
markov decision processes
model construction
hybrid models