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  • Search: subject:"Non-linear Markov modelling"
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Non-linear Markov modelling 1 Non-parametric model 1 Parametric model 1 Volatility forecasting 1
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Article 1
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McAleer, Michael 1 Mees, Alistair 1 Pilgram, Berndt 1 Verhoeven, Peter 1
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Mathematics and Computers in Simulation (MATCOM) 1
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Non-linear modelling and forecasting of S&P 500 volatility
Verhoeven, Peter; Pilgram, Berndt; McAleer, Michael; … - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 1, pp. 233-241
This paper investigates the use of a flexible forecasting method based on non-linear Markov modelling and canonical …
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