A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia

Research output

Research output per year 2012 2012 2012

• 1 Article

Research output per year

Research output per year

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• 2012

  Probabilistic forecasts of volatility and its risk premia

  Maneesoonthorn, W., Martin, G. M., Forbes, C. S. & Grose, S. D., Dec 2012, In: Journal of Econometrics. 171, 2, p. 217-236 20 p.

  Research output: Contribution to journal › Article › Research › peer-review
  11 Citations (Scopus)