A threshold factor multivariate stochastic volatility model
Year of publication: |
2009
|
---|---|
Authors: | So, Mike Ka-pui ; Ts'ai, Cheng-jen |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 28.2009, 8, p. 712-735
|
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process |
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