The multifactor nature of the volatility of futures markets

DOI10.1007/s10614-006-9023-9zbMath1153.91475OpenAlexW2042940512MaRDI QIDQ853577

Thuy-Duong Tô, Carl Chiarella

Publication date: 17 November 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9023-9

zbMATH Keywords

genetic algorithmterm structurevolatilityjumpfutures marketsEurodollar futuresmutlifactor

Mathematics Subject Classification ID

Related Items (2)

The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach ⋮ Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters

Uses Software

• Genocop
• Ox

Cites Work

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