Mixture distribution‐based forecasting using stochastic volatility models

DOI10.1002/ASMB.647MaRDI QIDQ5430323zbMATH OpenOpenAlexFDO

Authors A. E. Clements, Stan Hurn, S. I. White

Publication date 16 December 2007

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.647

zbMATH Keywords

discretized non-linear filteringforecastingmixture distributionsstochastic volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stochastic models in economics (91B70) Economic time series analysis (91B84)

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Cited in

(6)

• Hidden Markov experts
• Mixtures of \(t\)-distributions for finance and forecasting
• Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund
• Bayesian inference on mixture-of-experts for estimation of stochastic volatility
• Flexible weighted dirichlet process mixture modelling and evaluation to address the problem of forecasting return distribution
• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures

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