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Risque de modèle de volatilité

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  • Ali Alami
  • Eric Renault

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  • Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    • Handle: RePEc:cir:cirwor:2001s-06
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    File URL: https://cirano.qc.ca/files/publications/2001s-06.pdf
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    References listed on IDEAS

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    23. Meddahi, N & Renault, E., 1996. "Aggregations and Marginalization of Garch and Stochastic Volatility Models," Papers 96.433, Toulouse - GREMAQ.
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    More about this item

    Keywords

    Volatility; model risk; ARCH; GARCH; forecasting; structural model; Volatilité; risque de modèle; ARCH; GARCH; prévision; modèle structurel;
    All these keywords.

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