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Journal of Applied Statistics Volume 42, 2015 - Issue 3
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Original Articles

Kalman filter-based modelling and forecasting of stochastic volatility with threshold

Himadri GhoshIndian Agricultural Statistics Research Institute, New Delhi, IndiaCorrespondence[email protected]
,
Bishal GurungIndian Agricultural Statistics Research Institute, New Delhi, India
&
PrajneshuIndian Agricultural Statistics Research Institute, New Delhi, India
Pages 492-507 | Received 28 Jan 2013, Accepted 05 Sep 2014, Published online: 08 Oct 2014

Citations (11)

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Read on this site (2)

P. de Zea Bermudez, J. Miguel Marín & Helena Veiga. (2020) Data cloning estimation for asymmetric stochastic volatility models. Econometric Reviews 39:10, pages 1057-1074.
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Nadia Boussaha & Fayçal Hamdi. (2018) On periodic autoregressive stochastic volatility models: structure and estimation. Journal of Statistical Computation and Simulation 88:9, pages 1637-1668.
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Articles from other publishers (9)

P. de Zea Bermudez, J. Miguel Marín, Håvard Rue & Helena Veiga. (2024) Integrated nested Laplace approximations for threshold stochastic volatility models. Econometrics and Statistics 30, pages 15-35.
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Ahmed Ghezal & Omar Alzeley. (2024) Probabilistic properties and estimation methods for periodic threshold autoregressive stochastic volatility. AIMS Mathematics 9:5, pages 11805-11832.
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Jianzhong Yang, Nian Fu & Huirong Chen. (2023) The Sunspot Number Forecasting Using a Hybridization Model of EMD , LSTM and Attention Mechanism . IEEJ Transactions on Electrical and Electronic Engineering 18:11, pages 1791-1798.
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Mike G. Tsionas, Dionisis Philippas & Nikolaos Philippas. (2022) Multivariate stochastic volatility for herding detection: Evidence from the energy sector. Energy Economics 109, pages 105964.
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Jing Zhang, Ya-Ming Zhuang & Jia-Bao Liu. (2021) An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model. Journal of Mathematics 2021, pages 1-7.
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Jing Zhang & Qi-zhi He. (2021) Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets. Complexity 2021, pages 1-8.
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Jing Zhang & Ya-ming Zhuang. (2021) Cross-Market Infection Research on Stock Herding Behavior Based on DGC-MSV Models and Bayesian Network. Complexity 2021, pages 1-8.
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Bryan Lim, Stefan Zohren & Stephen Roberts. (2020) Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction. Recurrent Neural Filters: Learning Independent Bayesian Filtering Steps for Time Series Prediction.
Xiuping Mao, Esther Ruiz & Helena Veiga. (2017) Threshold stochastic volatility: Properties and forecasting. International Journal of Forecasting 33:4, pages 1105-1123.
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