Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (Q4554429): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 17:21, 5 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)
0 references
14 November 2018
0 references
forecasting
0 references
Kalman filter
0 references
long memory processes
0 references
state space modelling
0 references
stochastic volatility
0 references
structural change
0 references
