A threshold stochastic volatility model
Mike K. P. So, W. K. Li and K. Lam
| Year of publication: |
2002
|
|---|---|
| Authors: | So, Mike Ka-pui ; Li, Wai Keung ; Lam, Kin |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 21.2002, 7, p. 473-500
|
| Subject: | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Theorie | Theory | Zustandsraummodell | State space model |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001775843