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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting
Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389
Persistent link: https://www.econbiz.de/10011820669
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Mortality forecasting using a Lexis-based state-space model
Andersson, Patrik; Lindholm, Mathias - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 519-548
Persistent link: https://www.econbiz.de/10012656701
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Ordinal-response GARCH models for transaction data : a forecasting exercise
Dimitrakopoulos, Stefanos; Tsionas, Efthymios G. - In: International journal of forecasting 35 (2019) 4, pp. 1273-1287
Persistent link: https://www.econbiz.de/10012305278
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010
Persistent link: https://www.econbiz.de/10003964500
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Examining realized volatility regimes under a threshold stochastic volatility model
Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389
Persistent link: https://www.econbiz.de/10009689475
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Scientific stochastic volatility models for the European carbon markets : forecasting and extracting conditional moments
Solibakke, Per Bjarte - In: International journal of business 19 (2014) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10010344777
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Asymmetric information and volatility forecasting in commodity futures markets
Liu, Qingfu; Wong, Ieokhou; An, Yunbi; Zhang, Jinqing - In: Pacific-Basin finance journal 26 (2014), pp. 79-97
Persistent link: https://www.econbiz.de/10010498758
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Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of empirical finance 19 (2012) 1, pp. 147-161
Persistent link: https://www.econbiz.de/10009615752