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Multivariate Volatility clustering based on a class of multivariate hidden markov models

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https://hal-paris1.archives-ouvertes.fr/hal-00318129
Contributor : Mohamad Khaled <>
Submitted on : Wednesday, September 3, 2008 - 6:13:46 PM
Last modification on : Sunday, January 19, 2020 - 6:38:22 PM

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  • HAL Id : hal-00318129, version 1

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Mohamad Khaled. Multivariate Volatility clustering based on a class of multivariate hidden markov models. EC2, Dec 2007, Faro, Portugal. ⟨hal-00318129⟩

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