On the use of non-linear transformations in stochastic volatility models (Q257523)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the use of non-linear transformations in stochastic volatility models |
scientific article; zbMATH DE number 6557232
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the use of non-linear transformations in stochastic volatility models |
scientific article; zbMATH DE number 6557232 |
Statements
On the use of non-linear transformations in stochastic volatility models (English)
0 references
17 March 2016
0 references
stochastic volatility
0 references
Box-Cox transformation
0 references
Yeo-Johnson transformation
0 references
extended Kalman filter
0 references
MCMC
0 references
model selection
0 references
forecast evaluation
0 references
0 references
