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Locally stationary multiplicative volatility modeling

Walsh, Christopher; Vogt, Michael - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 497-508

Persistent link: https://www.econbiz.de/10014448258

Fengler, Matthias R.; Herwartz, Helmut - In: Applied quantitative finance : theory and computational …, (pp. 221-236). 2002

Persistent link: https://www.econbiz.de/10001749997

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Persistent link: https://www.econbiz.de/10001659915

Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics

Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010

Persistent link: https://www.econbiz.de/10009240321

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423