I have constructed a simple HMM (Hidden Markov Model) with 2 states on the Vol (stdev) of a time series of currency returns. The state vector I produce looks reasonable, in the sense that it appears ...
I want to solve the following optimization problem: What is the optimal general trading strategy (in the sense of the highest Sharpe ratio) on a time series which is the result of a Hidden Markov ...
I am looking for a R library for modeling a Markov-Switching E-GARCH process. In other questions at StackExchange related to GARCH models, the package rugarch is often mentionned. Do you recommend it ...