Stochastic Volatility Models Predictive Relevance for Equity Markets

DOI10.1007/978-3-030-56219-9_9OpenAlexW2999226739MaRDI QIDQ5048338

Per Bjarte Solibakke

Publication date: 16 November 2022

Published in: Contributions to Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-56219-9_9

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlo (MCMC) simulationsprojection-reprojection

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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