Modelling Good and Bad Volatility

DOI10.2202/1558-3708.1595zbMath1193.91178OpenAlexW2006784707WikidataQ59234149 ScholiaQ59234149MaRDI QIDQ3574737

Matteo M. Pelagatti

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1018.6830

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)

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