Runs tests for assessing volatility forecastability in financial time series
Year of publication: |
2005
|
---|---|
Authors: | Bellini, Fabio ; Figà-Talamanca, Gianna |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 163.2005, 1, p. 102-114
|
Saved in:
Saved in favorites
Similar items by person
-
Detecting and modeling tail dependence
Bellini, Fabio, (2004)
-
Path properties of simulation schemes for the Heston stochastic volatility model.
Figà-Talamanca, Gianna, (2009)
-
Limit results for discretely observed stochastic volatility models with leverage e¤ect
Figà-Talamanca, Gianna, (2008)
- More ...