Long Memory in Continuous Time Stochastic Volatility Models.
Year of publication: |
1996
|
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Authors: | Comte, F. ; Renault, E. |
Institutions: | Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ), Toulouse School of Economics (TSE) |
Subject: | ECONOMETRICS | MODELS | MATHEMATICS | UNCERTAINTY | FINANCIAL MARKET |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | 38 pages |
Classification: | C10 - Econometric and Statistical Methods: General. General ; D80 - Information and Uncertainty. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
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A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets.
Dionne, G., (1996)
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Gourieroux, C., (1996)
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Zhou, L., (1996)
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Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models.
Renault, E., (1993)
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Gourieroux, C., (1992)
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Aggregations and Marginalization of Garch and Stochastic Volatility Models.
Meddahi, N, (1996)
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