Estimating stochastic volatility : the rough side to equityreturns
Jonathan Haynes, Daniel Schmitt, Lukas Grimm
| Year of publication: |
2019
|
|---|---|
| Authors: | Haynes, Jonathan ; Schmitt, Daniel ; Grimm, Lukas |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 449-469
|
| Subject: | Asset pricing | Stochastic processes | Forecasting | Volatility | Derivatives | Volatilität | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | CAPM | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00261-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127236