Forecasting Latent Volatility through a Markov Chain Approximation Filter-Reference-Cited by-同舟云学术

Forecasting Latent Volatility through a Markov Chain Approximation Filter

Published:2015-09-08 Issue:1 Volume:35 Page:54-69
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Lo Chia Chun¹,Skindilias Konstantinos²³,Karathanasopoulos Andreas⁴

Affiliation:

1. Department of Finance and Business Economics Faculty of Business Administration University of Macau

2. Mathematical Sciences Department University of Greenwich London UK

3. ABM‐Analytics Ltd London UK

4. School of Business American University of Beirut Lebanon

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2364

Reference32 articles.

1. Disentangling diffusion from jumps

2. Ait‐SahaliaY KaramanM ManciniL.2015.The term structure of variance swaps and risk premia. 10.2139/ssrn.2136820.

3. An Empirical Investigation of Continuous-Time Equity Return Models

4. The distribution of realized stock return volatility

5. The Distribution of Realized Exchange Rate Volatility

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