Browsing by Author "b9f56a54-695b-45b1-8017-c0f35e9a9969"
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Mundnich, Karel; Orchard Concha, Marcos (Elsevier, 2016-07)This work presents a novel online early detector of high-volatility clusters based on uGARCH models (a variation of the GARCH model), risk-sensitive particle-filtering-based estimators, and hypothesis testing procedures. ...