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Alternative Models to extract asset volatility: a comparative study

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  • Pedro L. Valls Pereira
  • Hotta, L.K.
  • Souza, L.A.R.

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Bibliographic Info

Paper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_14.

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Date of creation: Oct 1999
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Handle: RePEc:ibm:finlab:flwp_14

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Cited by:
  1. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testing the Hypothesis of Contagion using Multivariate Volatility Models," MPRA Paper 15623, University Library of Munich, Germany.
  2. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  3. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
    [Testing the contagion hypotheses using multivariate volatility models]
    ," MPRA Paper 10356, University Library of Munich, Germany.
  4. Douglas Gomes dos Santos & Flávio Augusto Ziegelmann, 2008. "Estimação de volatilidade em períodos de crise: Modelos aditivos semi-paramétricos versus modelos versus modelo Garch," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807201932370, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].

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