Particle filtering of volatility dynamics for KOSPI200 and its sequential prediction

DOI10.1002/FOR.2546zbMath1414.93189OpenAlexW2887575396MaRDI QIDQ5379274

Tae Yeon Kwon

Publication date: 28 May 2019

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2546

zbMATH Keywords

stochastic volatilityparticle filterposterior predictive distributionsequential prediction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Filtering in stochastic control theory (93E11) Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

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