News impact curve for stochastic volatility models
Year of publication: |
2013
|
---|---|
Authors: | Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 120.2013, 1, p. 130-134
|
Subject: | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process |
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