Approximating volatility diffusions with CEV-ARCH models
Year of publication: |
2006
|
---|---|
Authors: | Fornari, Fabio ; Mele, Antonio |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 30.2006, 6, p. 931-966
|
Subject: | ARCH-Modell | ARCH model | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
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