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Grassi, Stefano and Nonejad, Nima and Santucci de Magistris, Paolo (2016) Forecasting with the Standardized Self-Perturbed Kalman Filter. Journal of Applied Econometrics, 32 (2). pp. 318-341. ISSN 0883-7252. E-ISSN 1099-1255. (doi:https://doi.org/10.1002/jae.2522) (Full text available) |
Grassi, Stefano and Santucci de Magistris, Paolo (2015) It’s all about volatility of volatility: evidence from a two-factor stochastic volatility model. Journal of Empirical Finance, 30 . pp. 62-78. ISSN 0927-5398. (doi:https://doi.org/10.1016/j.jempfin.2014.11.007) (Full text available) |