A Statistical Recurrent Stochastic Volatility Model for Stock Markets-Reference-Cited by-同舟云学术

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A Statistical Recurrent Stochastic Volatility Model for Stock Markets

Published:2022-02-28 Issue:2 Volume:41 Page:414-428
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Nguyen Trong-Nghia¹²,Tran Minh-Ngoc¹²,Gunawan David²³,Kohn Robert²⁴

Affiliation:

1. Discipline of Business Analytics, University of Sydney Business School, Sydney, Australia

2. Australian Research Council’s Centre of Excellence for Mathematical and Statistical Frontiers (ACEMS), Melbourne, Australia

3. School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia

4. School of Economics, UNSW Business School, Sydney, Australia

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2022.2028631

Reference49 articles.

1. Particle Markov chain Monte Carlo methods

2. Fractionally integrated generalized autoregressive conditional heteroskedasticity

3. Generalized autoregressive conditional heteroskedasticity

4. Modeling and pricing long memory in stock market volatility

5. An Analysis of Transformations

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