Open AccessModelling Stochastic Volatility in the Kenyan Securities Market Using Hidden Markov Models
Author(s) -
Matilda B. Bosire,
Samuel Chege Maina
Publication year - 2021
Publication title -
journal of financial risk management
Language(s) - English
Resource type - Journals
eISSN - 2167-9541
pISSN - 2167-9533
DOI - 10.4236/jfrm.2021.103021
Subject(s) - stochastic volatility , markov chain monte carlo , econometrics , univariate , volatility (finance) , hidden markov model , expectation–maximization algorithm , sabr volatility model , markov chain , computer science , monte carlo method , markov model , economics , statistics , mathematics , maximum likelihood , artificial intelligence , machine learning , multivariate statistics