Stochastic Volatility and GARCH: a Comparison Based on UK Stock Data
Year of publication: |
2006
|
---|---|
Authors: | Pederzoli, Chiara |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 12.2006, 1, p. 41-59
|
Publisher: |
Taylor & Francis Journals |
Subject: | Volatility models | stochastic volatility | GARCH | value at risk |
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