Forecasting volatility with interacting multiple models
Year of publication: |
February 2017
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Authors: | Svec, Jiri ; Katrak, Xerxis |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 20.2017, p. 245-252
|
Subject: | Forecasting | Volatility | Kalman filter | Interacting multiple models | Volatilität | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Theorie | Theory | Schätzung | Estimation | ARCH-Modell | ARCH model |
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