Forecasting return volatility : level shifts with varying jump probability and mean reversion
Jiawen Xu; Pierre Perron
| Year of publication: |
2014
|
|---|---|
| Authors: | Xu, Jiawen ; Perron, Pierre |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 30.2014, 3, p. 449-463
|
| Subject: | Structural change | State space model | Regime switching | Long-memory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Zustandsraummodell | Theorie | Theory | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Strukturbruch | Structural break | Mean Reversion | Mean reversion | Schätzung | Estimation | Strukturwandel |
| 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://www.econbiz.de/10010511565