News impact curve for stochastic volatility models
Makoto Takahashi; Yasuhiro Omori; Toshiaki Watanabe
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009760436