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- MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
- Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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More about this item
Keywords
volatility; stochastic volatility; infinitesimal generator; conditional expectation; eigenfunctions; ARMA; fat tails; GMM; volatilité; volatilité stochastique; générateur infinitésimal; espérance conditionnelle; fonctions propres; ARMA; queues épaisses; GMM;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-03-27 (Econometrics)
- NEP-FMK-2002-03-14 (Financial Markets)
Statistics
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