搜索结果: 1-1 共查到“货币银行学 Regime switching”相关记录1条 . 查询时间(0.053 秒)
Regime Switching Volatility Calibration by the Baum-Welch Method
Regime switching stochastic volatility calibration Hamilton filter Baum-Welch
2010/10/29
Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose u...