Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models

Journal of Empirical Finance

Volumn 19, Issue 1, 2012, Pages 147-161

  Langrock, Roland ^a   MacDonald, Iain L ^b   Zucchini, Walter ^a  

^a UNIVERSITY OF GÖTTINGEN   (Germany)

^b UNIVERSITY OF CAPE TOWN   (South Africa)

Author keywords

Backtesting; Financial time series; Forecasting; Mixture models; Pseudo residuals; State space models

Indexed keywords

EID: 84455169620     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2011.09.003     Document Type: Article

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