Hidden Markov model with stochastic volatility for estimating bitcoin price volatility-Reference-Cited by-同舟云学术

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Hidden Markov model with stochastic volatility for estimating bitcoin price volatility

Published:2023-02-28 Issue:1 Volume:36 Page:85-100
ISSN:1225-066X
Container-title:Korean Journal of Applied Statistics
language:en
Short-container-title:KJAS

Author:

Kang Tae Hyun¹,Hwang Beom Seuk¹

Affiliation:

1. Department of Applied Statistics, Chung-Ang University

Funder

Chung-Ang University

National Research Foundation of Korea

Ministry of Science and ICT, South Korea

Publisher

The Korean Statistical Society

Subject

General Earth and Planetary Sciences,General Engineering,General Environmental Science

Link

http://pdf.medrang.co.kr/KJAS/2023/036/KJAS036-01-85.pdf

Reference20 articles.

1. Modelling Stochastic Volatility in the Kenyan Securities Market Using Hidden Markov Models

2. Derek S (2011). Monte Carlo approaches to hidden Markov model state estimation, Master of Science in Applied Mathematics (pp. 1-40), eScholarship, University of California, California.

3. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

4. Stock market forecasting using hidden Markov model: a new approach

5. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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