On the use of non-linear transformations in Stochastic Volatility models

Georgios Tsiotas

Statistical Methods & Applications, 2009, vol. 18, issue 4, 555-583

Keywords: Stochastic volatility; Box–Cox transformation; Yeo–Johnson transformation; Extended Kalman Filter; MCMC; Model selection; Forecast evaluation (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10260-008-0113-9

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