Birs- 14w5157: Recent Advances and Trends in Time Series Analysis: Nonlinear Time Series, High Dimensional Inference and Beyond

  1. Title:
    Filtering of an HMM-based multivariate Ornstein-Uhlenbeck model with application to forecasting market liquidity
    Speaker:
    Rogemar Mamon

    Link:
    http://www.birs.ca/events/2014/5-day-workshops/14w5157/videos/watch/201405020900-Mamon.html