Kalman filter-based modelling and forecasting of stochastic volatility with threshold (Q5130165): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/02664763.2014.963524 / rank
 
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Latest revision as of 00:02, 24 July 2024

scientific article; zbMATH DE number 7269564
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English
Kalman filter-based modelling and forecasting of stochastic volatility with threshold
scientific article; zbMATH DE number 7269564

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    Kalman filter-based modelling and forecasting of stochastic volatility with threshold (English)
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    4 November 2020
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    AR-SV model
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    AR-SVT model
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    asymmetric volatility
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    Kalman filter
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    optimal out-of-sample forecasts
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    UQML method
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