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20182023
most citedA gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder

9 citations · 12 across the 5 of their papers we have counts for

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q-fin.PM2021

Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations

Anders D. Sleire, Bård Støve, Håkon Otneim +3

It is well known that there are asymmetric dependence structures between financial returns. In this paper we use a new nonparametric measure of local dependence, the local Gaussian…