On the use of non-linear transformations in stochastic volatility models
DOI10.1007/S10260-008-0113-9zbMATH Open1333.62296OpenAlexW2057415605MaRDI QIDQ257523FDOQ257523
Publication date: 17 March 2016
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-008-0113-9
model selectionMCMCextended Kalman filterBox-Cox transformationforecast evaluationstochastic volatilityYeo-Johnson transformation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
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Cited In (4)
- Revisiting linear and lognormal stochastic volatility models
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- On generalised asymmetric stochastic volatility models
- Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions
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