Kalman filter-based modelling and forecasting of stochastic volatility with threshold (Q5130165)
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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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0.7916185855865479
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0.7422906160354614
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0.7323775887489319
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