Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Roland Langrock, Iain L. MacDonald, Walter Zucchini
| Year of publication: |
2012
|
|---|---|
| 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
|
| Subject: | State-space models | Mixture models | Financial time series | Forecasting | Pseudo-residuals | Backtesting | Volatilität | Volatility | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Schätztheorie | Estimation theory |
| 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/10009615752