Title:

Threshold Stochastic Volatility: Properties and Forecasting

Authors:

Xiuping Mao (Zhongnan U Economics and Law)
Esther Ruiz (U Carlos III)
Helena Veiga (U Carlos III, ISCTE - Instituto Universitário de Lisboa)

Journal:

International Journal Of Forecasting

Year:

2017

Volume:

33

Number:

4

Pages:

1105-1123

JEL code:

G13 - Contingent Pricing; Futures Pricing