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I knew from experience that the classic approach is to try and identify hidden Markov ... trained the model with daily data from 1950 to 2015-12-31 and then ran the model out of sample from ...
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Stress testing pension funds—researchers present technique based on hidden Markov regime switching modelAccording to the professor at KTU Faculty of Mathematics and Natural Sciences ... of pension funds," says Kabašinskas. The Hidden Markov Model (HMM), which, according to a professor at KTU ...
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