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Forecasting Latent Volatility through a Markov Chain Approximation Filter

Author

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  • Chia Chun Lo
  • Konstantinos Skindilias
  • Andreas Karathanasopoulos
Abstract
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Suggested Citation

  • Chia Chun Lo & Konstantinos Skindilias & Andreas Karathanasopoulos, 2016. "Forecasting Latent Volatility through a Markov Chain Approximation Filter," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(1), pages 54-69, January.
    • Handle: RePEc:wly:jforec:v:35:y:2016:i:1:p:54-69
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    Citations

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    Cited by:

    1. Erica Virginia & Josep Ginting & Faiz A.M. Elfaki, 2018. "Application of GARCH Model to Forecast Data and Volatility of Share Price of Energy (Study on Adaro Energy Tbk, LQ45)," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 131-140.
    2. Kirkby, J. Lars, 2023. "Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation," European Journal of Operational Research, Elsevier, vol. 305(2), pages 961-978.
    3. Suripto & Supriyanto, 2021. "The Effect of the COVID-19 Pandemic on Stock Prices with the Event Window Approach: A Case Study of State Gas Companies, in the Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 155-162.
    4. Toto Gunarto & Rialdi Azhar & Novita Tresiana & Supriyanto Supriyanto & Ayi Ahadiat, 2020. "Accurate Estimated Model of Volatility Crude Oil Price," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 228-233.
    5. Lo, C.C. & Nguyen, D. & Skindilias, K., 2017. "A Unified Tree approach for options pricing under stochastic volatility models," Finance Research Letters, Elsevier, vol. 20(C), pages 260-268.
    6. Nairobi Nairobi & Edwin Russel & Ambya Ambya & Arif Darmawan & Mustofa Usman & Wamiliana Wamiliana, 2020. "Dynamic Modeling Data Export Oil and Gas and Non-Oil and Gas by ARMA(2,1)-GARCH(1,1) Model: Study of Indonesian s Export over the Years 2008-2019," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 175-184.
    7. J. R. Stokes, 2024. "A Markov chain model of crop conditions and intrayear crop yield forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 583-592, April.
    8. Alejandro Mosiño & Alejandro Tatsuo Moreno-Okuno, 2018. "On modeling fossil fuel prices: geometric Brownian motion vs. variance-gamma process," Economics Bulletin, AccessEcon, vol. 38(1), pages 509-519.

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