Fourier series method for measurement of multivariate volatilities
Year of publication: |
2002
|
---|---|
Authors: | Malliavin, Paul ; Mancino, Maria Elvira |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 6.2002, 1, p. 49-61
|
Subject: | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Theorie | Theory | Martingal | Martingale | Fourier-Analyse | Fourier analysis |
-
Empirically based modeling in financial economics and beyond, and spurious stylized facts
Bassler, Kevin E., (2008)
-
Option pricing with quadratic volatility : a revisit
Andersen, Leif B. G., (2011)
-
Estimation of integrated volatility in stochastic volatility models
Woerner, Jeannette H. C., (2003)
- More ...
-
The price-volatility feedback rate : an implementable mathematical indicator of market stability
Barucci, Emilio, (2003)
-
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Barucci, Emilio, (2003)
-
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Barucci, Emilio, (2003)
- More ...