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~person:"Ranaldo, Angelo"
~person:"Santucci de Magistris, Paolo"
~subject:"State space model"
~type:"article"
~type_genre:"Article in journal"
~type_genre:"Working Paper"
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Ranaldo, Angelo
Santucci de Magistris, Paolo
Grassi, Stefano
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Nonejad, Nima
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Journal of empirical finance
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Forecasting with the standardized self-perturbed Kalman filter
Grassi, Stefano
;
Nonejad, Nima
;
Santucci de Magistris, Paolo
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 318-341
Persistent link: https://www.econbiz.de/10011689787
Saved in:
2
It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
- In:
Journal of empirical finance
30
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011489216
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