It's all about volatility of volatility : evidence from a two-factor stochastic volatility model
Stefano Grassi, Paolo Santucci de Magistris
| Year of publication: |
January 2015
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|---|---|
| Authors: | Grassi, Stefano ; Santucci de Magistris, Paolo |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 30.2015, p. 62-78
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| Subject: | Time-varying parameters | On-line Kalman filter | Simulation-based inference | Predictive likelihood | Volatility factors | Volatilität | Volatility | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2014.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011489216