On the use of non-linear transformations in stochastic volatility models (Q257523): Difference between revisions

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Property / DOI: 10.1007/s10260-008-0113-9 / rank
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Latest revision as of 12:47, 9 December 2024

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On the use of non-linear transformations in stochastic volatility models
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    On the use of non-linear transformations in stochastic volatility models (English)
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    17 March 2016
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    stochastic volatility
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    Box-Cox transformation
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    Yeo-Johnson transformation
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    extended Kalman filter
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    MCMC
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    model selection
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    forecast evaluation
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