Filtering of a Discrete-Time HMM-Driven Multivariate Ornstein-Uhlenbeck Model With Application to Forecasting Market Liquidity Regimes.
IEEE Journal of Selected Topics in Signal Processing(2016)
摘要
This paper investigates the modeling of risk due to market and funding liquidity by capturing the joint dynamics of three time series: the treasury-Eurodollar spread, the VIX, and a metric derived from the S&P 500 spread. We propose a two-regime mean-reverting model for explaining the behaviour of three time series, which mirror liquidity levels for financial markets. An expectation-maximisation a...
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关键词
Hidden Markov models,Numerical models,Biological system modeling,Predictive models,Data models,Economics,Forecasting
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