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Dynamic probabilistic forecasting with uncertainty

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Stochastic volatility in financial markets : crossing the bridge to continuous time

Fornari, Fabio; Mele, Antonio - 2000

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Forecasting realized volatility : new evidence from time-varying jumps in VIX

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Stochastic Volatility in Financial Markets : Crossing the Bridge to Continuous Time

Fornari, Fabio - 2000

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance … changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed … `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further …

Persistent link: https://www.econbiz.de/10013519244