Stochastic Volatility Models Predictive Relevance for Equity Markets

DOI10.1007/978-3-030-56219-9_9MaRDI QIDQ5048338zbMATH OpenOpenAlexFDO

Authors Per Bjarte Solibakke

Publication date 16 November 2022

Published in Contributions to Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-56219-9_9

zbMATH Keywords

Markov chain Monte Carlo (MCMC) simulationsprojection-reprojectionstochastic volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Volatility in the stock market: ANN versus parametric models
• Modeling the BUX index by a novel stochastic differential equation
• Approaches to forecasting volatility: Models and their performances for emerging equity markets

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