Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429): Difference between revisions
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Revision as of 20:47, 19 March 2024
scientific article; zbMATH DE number 6979468
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Combining long memory and level shifts in modelling and forecasting the volatility of asset returns |
scientific article; zbMATH DE number 6979468 |
Statements
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (English)
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14 November 2018
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forecasting
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Kalman filter
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long memory processes
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state space modelling
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stochastic volatility
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structural change
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