Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Year of publication: |
2020
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Authors: | Wu, Xinyu ; Wang, Xiaona |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 34.2020, p. 1-7
|
Subject: | Continuous particle filter | Linear spline | Realized volatility measure | Stochastic volatility | Time-varying leverage effect | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Zustandsraummodell | State space model |
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