Forecasting latent volatility through a Markov chain approximation filter
Chia Chun Lo, Konstantinos Skindilias, and Andreas Karathanasopoulos
| Year of publication: |
January 2016
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|---|---|
| Authors: | Lo, Chia Chun ; Skindilias, Konstantinos ; Karathanasopoulos, Andreas |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 1, p. 54-69
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| Subject: | filtering variance | forecasting probability | continuous time Markov chains | Theorie | Theory | Prognoseverfahren | Forecasting model | Wahrscheinlichkeitsrechnung | Probability theory | Markov-Kette | Markov chain | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2364 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417712