Concepedia

Modelling high-frequency FX rate dynamics: A zero-delay multi-dimensional HMM-based approach

Anton Tenyakov, Rogemar Mamon, Matt Davison

Knowledge-Based Systems · 2016 · 18 citations · 38 references

Concepts

EngineeringComputational EngineeringDynamical SystemsSystem DynamicsTime Series AnalysisFrequency-domain AnalysisHidden Markov ModelsHigh-frequency Data AnalysisHigh-frequency Time Series AnalysisState-space ModelingState-space RepresentationHidden Markov AnalysisMultivariate State-space Models

References

38

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 50.7K citations · Full text

Business, Biostatistics, Statistical Modeling +9

Maximum Likelihood from Incomplete Data Via the <i>EM</i> Algorithm

A. P. Dempster, N. M. Laird, Donald B. Rubin · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1977 · 49.7K citations

Public Health, Biostatistics, Bayesian Data Analysis +16

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

Social Sciences, Economics, Econometrics +7