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Persistent link: https://www.econbiz.de/10013533453
The prediction of volatility is of primary importance for business applications in risk management, asset allocation and pricing of derivative instruments. This paper proposes a novel measurement model which takes into consideration the possibly time-varying interaction of realized volatility...
Persistent link: https://www.econbiz.de/10012907214
Persistent link: https://www.econbiz.de/10012546666
Persistent link: https://www.econbiz.de/10012207189
The prediction of volatility is of primary importance for business applications in risk management, asset allocation and pricing of derivative instruments. This paper proposes a novel measurement model which takes into consideration the possibly time-varying interaction of realized volatility...
Persistent link: https://www.econbiz.de/10012893411