An Eigenfunction Approach for Volatility Modeling.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

Year of publication:	2001
Authors:	Meddahi, N.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	ECONOMETRICS \| ECONOMIC MODELS \| EXPECTATIONS

Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	44 pages
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005353042