On the use of non-linear transformations in Stochastic Volatility models
| Year of publication: |
2009
|
|---|---|
| Authors: | Tsiotas, Georgios |
| Published in: |
Statistical Methods and Applications. - Springer, ISSN 1618-2510. - Vol. 18.2009, 4, p. 555-583
|
| Publisher: |
Springer |
| Subject: | Stochastic volatility | Box–Cox transformation | Yeo–Johnson transformation | Extended Kalman Filter | MCMC | Model selection | Forecast evaluation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008537605