Robert J. Elliott, W. Paul Malcolm, Allanus H. Tsoi. HMM volatility estimation. In 41st IEEE Conference on Decision and Control, CDC 2002, Las Vegas, NV, USA, December 10-13, 2002. pages 398-404, IEEE, 2002. [doi]
@inproceedings{ElliottMT02,
title = {HMM volatility estimation},
author = {Robert J. Elliott and W. Paul Malcolm and Allanus H. Tsoi},
year = {2002},
doi = {10.1109/CDC.2002.1184527},
url = {https://doi.org/10.1109/CDC.2002.1184527},
researchr = {https://researchr.org/publication/ElliottMT02},
cites = {0},
citedby = {0},
pages = {398-404},
booktitle = {41st IEEE Conference on Decision and Control, CDC 2002, Las Vegas, NV, USA, December 10-13, 2002},
publisher = {IEEE},
isbn = {0-7803-7516-5},
}