Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10001273586
Persistent link: https://www.econbiz.de/10000692464
Persistent link: https://www.econbiz.de/10003553502
Persistent link: https://www.econbiz.de/10003802446
Persistent link: https://www.econbiz.de/10001330028
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by...
Persistent link: https://www.econbiz.de/10013156089
We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...
Persistent link: https://www.econbiz.de/10012855793
Persistent link: https://www.econbiz.de/10013542852