Threshold stochastic volatility : properties and forecasting
Xiuping Mao, Esther Ruiz, Helena Veiga
| Year of publication: |
October-December 2017
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|---|---|
| Authors: | Mao, Xiuping ; Ruiz, Esther ; Veiga, Helena |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 4, p. 1105-1123
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| Subject: | Conditional heteroscedasticity | Leverage effect | MCMC estimator | Option pricing | Volatility forecasting | Theorie | Theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2017.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011746949