Stochastic volatility models with endogenous breaks in volatility forecasting

DOI10.1007/978-3-030-85254-2_6MaRDI QIDQ6637741

Salokhiddin S. Avazkhodjaev, Akram S. Hasanov

Publication date: 13 November 2024

zbMATH Keywords

regime shiftsrenewable energythe rolling windowvolatility modelling and forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Model Confidence Set
• Selection of estimation window in the presence of breaks
• Generalized autoregressive conditional heteroscedasticity
• Financial Data and the Skewed Generalized T Distribution
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• On Bayesian Modeling of Fat Tails and Skewness
• Multivariate Stochastic Variance Models

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