Hidden Markov independent component analysis as a measure of coupling in multivariate financial time series

Modelling the dynamics of financial markets has been an area of active research in recent years. This paper presents a time series analysis model which can be used to infer patterns within financial data, in order to better understand the dynamics of financial markets. The focus of the paper is on f...

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Bibliographic Details
Main Authors: Shah, N, Roberts, SJ
Format: Conference item
Language:English
Published: 2008