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Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models

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  • Mohamed Saidane
  • Christian Lavergne

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  • Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
    • Handle: RePEc:kap:compec:v:34:y:2009:i:4:p:323-364
    DOI: 10.1007/s10614-009-9181-7
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