Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different financial time series depending on their structure. Subsequently, we analyse the forecasting methods exposed in the previous… (More)
We study the weak and strong type boundedness of maximal heat–diffusion operators associated with the system of generalized Hermite polynomials and with two different systems of generalized Hermite functions. We also give a necessary background to define Sobolev spaces in this context.