Details about Jan Bulla

Access statistics for papers by Jan Bulla.

Last updated 2008-12-14. Update your information in the RePEc Author Service.

Short-id: pbu88

Working Papers

2006

1. Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series
   MPRA Paper, University Library of Munich, Germany
2. Structured Hidden Markov Models
   Computing in Economics and Finance 2006, Society for Computational Economics

2005

3. Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques
   Finance, EconWPA
   See also Journal Article in European Journal of Finance (2008)

Journal Articles

2008

1. Computational issues in parameter estimation for stationary hidden Markov models
   Computational Statistics, 2008, 23, (1), 1-18
2. Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques
   European Journal of Finance, 2008, 14, (8), 771-802
   See also Working Paper (2005)

2006

3. Stylized facts of financial time series and hidden semi-Markov models
   Computational Statistics & Data Analysis, 2006, 51, (4), 2192-2209