Kalman filter-based modelling and forecasting of stochastic volatility with threshold
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Publication:5130165
DOI10.1080/02664763.2014.963524MaRDI QIDQ5130165
Himadri Ghosh, Prajneshu, Bishal Gurung
Publication date: 4 November 2020
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664763.2014.963524
Kalman filter; asymmetric volatility; AR-SV model; AR-SVT model; optimal out-of-sample forecasts; UQML method
62-XX: Statistics
Uses Software