Forecasting latent volatility through a Markov chain approximation filter
Year of publication: |
January 2016
|
---|---|
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
|
Subject: | filtering variance | forecasting probability | continuous time Markov chains | Markov-Kette | Markov chain | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Zeitreihenanalyse | Time series analysis |
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