Overlaying Time Scales in Financial Volatility Data

DOI10.1016/S0731-9053(05)20025-7zbMath1190.91157OpenAlexW1575972778MaRDI QIDQ3571981

Eric Hillebrand

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20025-7

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

Optimal switching decisions under stochastic volatility with fast mean reversion ⋮ TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS ⋮ Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance ⋮ Estimation and prediction of a non-constant volatility

Uses Software

• ARFIMA

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