Forecasting stochastic volatility using the kalman filter: An application to canadian interest rates and price-earnings ratio
FÉ Racicot, R Théoret - … : The IEB International Journal of Finance, 2010 - dialnet.unirioja.es
In this paper, we aim at forecasting the stochastic volatility of key financial market variables
with the Kalman filter using stochastic models developed by Taylor (1986, 1994) and Nelson …
with the Kalman filter using stochastic models developed by Taylor (1986, 1994) and Nelson …