Stochastic volatility models for ordinal-valued time series with application to finance

DOI10.1177/1471082X0800900105OpenAlexW1997103408MaRDI QIDQ4970906

Claudia Czado, Gernot J. Müller

Publication date: 7 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/1471082x0800900105

zbMATH Keywords

Markov chain Monte Carlotransformation groupprice processhigh-frequency financemultigrid Monte Carlogrouped move

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Adaptively combined forecasting for discrete response time series ⋮ A mixed autoregressive probit model for ordinal longitudinal data ⋮ Discrete-response state space models with conditional heteroscedasticity: an application to forecasting the federal funds rate target ⋮ Modeling for Dynamic Ordinal Regression Relationships: An Application to Estimating Maturity of Rockfish in California

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