Threshold stochastic volatility : properties and forecasting
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
|
Subject: | Conditional heteroscedasticity | Leverage effect | MCMC estimator | Option pricing | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Heteroskedastizität | Heteroscedasticity |
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