Forecasting volatility: does continuous time do better than discrete time? Working Papers uri icon

publication date

  • 2011

series title

  • UC3M Working papers. Statistics and Econometrics

series number

  • 11-18

subjects

  • Statistics

keywords

  • asymmetry; continuous and discrete-time stochastic volatility models; garch-type models; maximum likelihood via iterated filtering; particle filter; volatility forecasting