On a buffered threshold autoregressive stochastic volatility model

DOI10.1002/asmb.2689MaRDI QIDQ6580756

Heung Wong, Qingzheng Wang, Ka Fai Cedric Yiu

Publication date: 29 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityKalman filterBayesian inferencethreshold estimationbuffer zone

Mathematics Subject Classification ID

Statistics (62-XX)

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