A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
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- Dai Pra, P. & Pigato, P., 2015. "Multi-scaling of moments in stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3725-3747.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-09 (All new papers)
- NEP-ETS-2014-05-09 (Econometric Time Series)
- NEP-FMK-2014-05-09 (Financial Markets)
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