Real time estimation of stochastic volatility processes

DOI10.1007/s10479-011-0976-2zbMath1254.91660OpenAlexW2024300228MaRDI QIDQ1931658

László Gerencsér, Zsanett Orlovits

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-011-0976-2

zbMATH Keywords

stochastic volatilityfinancial time seriesrecursive estimationMarkovian dynamicsGARCH processes

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (3)

Self-weighted recursive estimation of GARCH models ⋮ Long memory and regime switching in the stochastic volatility modelling ⋮ A simulation study on the Markov regime-switching zero-drift GARCH model

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