Forecasting Volatility Using A Continuous Time Model
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More about this item
KeywordsEfficient Method of Moments (EMM); Reprojection; Factors of Volatility; Fractional Integration; Volatility Forecasting.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2003-09-14 (Corporate Finance)
- NEP-ECM-2003-09-14 (Econometrics)
- NEP-ETS-2003-09-14 (Econometric Time Series)
- NEP-FMK-2003-09-14 (Financial Markets)
- NEP-RMG-2003-09-14 (Risk Management)
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