Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation

Li and Liu. "Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation." European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, 2021. doi:10.1007/978-3-030-86486-6_23

[Li and Liu. "Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation." European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, 2021.](https://mlanthology.org/ecmlpkdd/2021/li2021ecmlpkdd-continuoustime/) doi:10.1007/978-3-030-86486-6_23

@inproceedings{li2021ecmlpkdd-continuoustime,
  title     = {{Continuous-Time Markov-Switching GARCH Process with Robust State Path Identification and Volatility Estimation}},
  author    = {Li, Yinan and Liu, Fang},
  booktitle = {European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases},
  year      = {2021},
  pages     = {370-387},
  doi       = {10.1007/978-3-030-86486-6_23},
  url       = {https://mlanthology.org/ecmlpkdd/2021/li2021ecmlpkdd-continuoustime/}
}