Forecasting volatility using long memory and comovements : an application to option valuation under SFAS 123R
Year of publication: |
2010
|
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Authors: | Jiang, George J. ; Tian, Yisong Sam |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 45.2010, 2, p. 503-533
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Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Prognoseverfahren | Forecasting model | USA | United States |
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