On the use of non-linear transformations in stochastic volatility models

DOI10.1007/s10260-008-0113-9zbMath1333.62296OpenAlexW2057415605MaRDI QIDQ257523

Georgios Tsiotas

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-008-0113-9

zbMATH Keywords

model selectionstochastic volatilityextended Kalman filterBox-Cox transformationMCMCforecast evaluationYeo-Johnson transformation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

On generalised asymmetric stochastic volatility models ⋮ Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions

Uses Software

• BayesDA

Cites Work

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