On the use of non-linear transformations in Stochastic Volatility models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
More about this item
KeywordsStochastic volatility; Box–Cox transformation; Yeo–Johnson transformation; Extended Kalman Filter; MCMC; Model selection; Forecast evaluation;
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