Yinan Li, Fang Liu 0006. Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation. In Nuria Oliver, Fernando Pérez-Cruz, Stefan Kramer, Jesse Read, José Antonio Lozano, editors, Machine Learning and Knowledge Discovery in Databases. Research Track - European Conference, ECML PKDD 2021, Bilbao, Spain, September 13-17, 2021, Proceedings, Part I. Volume 12975 of Lecture Notes in Computer Science, pages 370-387, Springer, 2021. [doi]
Abstract is missing.