Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10009231072
Persistent link: https://www.econbiz.de/10001252424
Estimation of volatility of financial time series plays a crucial role in pricing derivatives. Volatility is often estimated from historical data; however, it is well known that volatility varies in time. We propose a method to choose a suitable length of historical data to estimate contemporary...
Persistent link: https://www.econbiz.de/10005036300