Robust Kalman filter based on a fuzzy GARCH model to forecast volatility using particle swarm optimization
Author:
Publisher
Springer Science and Business Media LLC
Subject
Geometry and Topology,Theoretical Computer Science,Software
Link
http://link.springer.com/content/pdf/10.1007/s00500-014-1447-x.pdf
Reference32 articles.
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4. Choudhry T, Wu H (2008) Forecasting ability of GARCH vs Robust Kalman filter method: evidence from daily UK time-varying beta. J Forecast 27:670–689
5. Glosten LR, Jagannathan R, Runkle DE (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks. J Finance 48:1779–1801
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