most citedExpectile hidden Markov regression models for analyzing cryptocurrency returns

9 citations · 13 across the 3 of their papers we have counts for

collaborators
Showing stat.MEShow all

1 paper · 1 filter

stat.ME2024

Hidden Markov graphical models with state-dependent generalized hyperbolic distributions

Beatrice Foroni, Luca Merlo, Lea Petrella

In this paper we develop a novel hidden Markov graphical model to investigate time-varying interconnectedness between different financial markets. To identify conditional correlati…