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MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY - MaRDI portal

MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (Q4372033)

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scientific article; zbMATH DE number 1106717
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English
MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
scientific article; zbMATH DE number 1106717

    Statements

    title
    MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (English)
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    author
    Stephen J. Taylor
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    publication date
    21 January 1998
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    zbMATH Keywords
    conditional heteroskedasticity
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    exchange rates
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    stochastic volatility
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    volatibility persistence
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    91B84
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    91B62
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    zbMATH DE Number
    1106717
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    OpenAlex ID
    W2001772055
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