On the use of non-linear transformations in stochastic volatility models (Q257523)
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scientific article; zbMATH DE number 6557232
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| English | On the use of non-linear transformations in stochastic volatility models |
scientific article; zbMATH DE number 6557232 |
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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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