Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

Keyphrases

• Hidden Markov Model 100%
• Estimation Model 100%
• Long Memory 100%
• Time-varying Parameter Model 100%
• Financial Time Series 100%
• Time-varying Behavior 66%
• Daily Returns 66%
• Parameter Variation 33%
• Step Density 33%
• Two-state 33%
• Estimation Approaches 33%
• Adaptive Estimation 33%
• Forecast Performance 33%
• Model Change 33%
• Hidden States 33%
• Density Forecasts 33%
• Financial Markets 33%
• Local Smoothing 33%
• Gaussian Hidden Markov Model 33%

Economics, Econometrics and Finance

• Hidden Markov Models 100%
• Time Series 100%
• Financial Market 25%