Change Point Detection and Estimation of the Two-Sided Jumps of Asset Returns Using a Modified Kalman Filter
Theodosiadou, Ourania, Skaperas, Sotiris, Tsaklidis, GeorgeVolume:
5
Language:
english
Journal:
Risks
DOI:
10.3390/risks5010015
Date:
March, 2017
File:
PDF, 2.07 MB
english, 2017