Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Year of publication: |
2012
|
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Authors: | Langrock, Roland ; MacDonald, Iain L. ; Zucchini, Walter |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 1, p. 147-161
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Subject: | State-space models | Mixture models | Financial time series | Forecasting | Pseudo-residuals | Backtesting | Theorie | Theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Zustandsraummodell | State space model | ARCH-Modell | ARCH model |
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