Characterizing heteroskedasticity

DOI10.1080/14697688.2010.535555zbMath1277.91147OpenAlexW4242226918MaRDI QIDQ2866366

Gilles Zumbach

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.535555

zbMATH Keywords

long memoryheteroskedasticityvolatility modellingheterogeneity of agents

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic models in economics (91B70)

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Fast and realistic European ARCH option pricing and hedging ⋮ Stochastic regularization for the mean-variance allocation scheme

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Time reversal invariance in finance
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Heterogeneous volatility cascade in financial markets

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