A threshold stochastic volatility model
Year of publication: |
2002
|
---|---|
Authors: | So, Mike Ka-pui ; Li, Wai Keung ; Lam, Kin |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 21.2002, 7, p. 473-500
|
Subject: | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Theorie | Theory | Zustandsraummodell | State space model |
-
l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David, (2009)
-
Examining realized volatility regimes under a threshold stochastic volatility model
Xu, Dinghai, (2012)
-
Langrock, Roland, (2012)
- More ...
-
Forecasting exchange rate volatility using autoregressive random variance model
So, Mike Ka-pui, (1999)
-
A stochastic volatility model with Markov switching
So, Mike Ka-pui, (1998)
-
Bayesian unit-root testing in stochastic volatility models
So, Mike Ka-pui, (1999)
- More ...