Moving average models for volatility and correlation, and covariance matrices
Year of publication: |
2008
|
---|---|
Authors: | Alexander, Carol |
Published in: |
Valuation, financial modeling, and quantitative tools. - Hoboken, NJ : Wiley, ISBN 978-0-470-07816-7. - 2008, p. 711-724
|
Subject: | Korrelation | Correlation | Volatilität | Volatility | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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