Volatility Models: from GARCH to Multi-Horizon Cascades
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References listed on IDEAS
- Moulin, H. & Peleg, B., 1982. "Cores of effectivity functions and implementation theory," Journal of Mathematical Economics, Elsevier, vol. 10(1), pages 115-145, June.
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More about this item
KeywordsVolatility modeling; GARCH; stochastic volatility; volatility cascade; multiple horizons in volatility;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-17 (All new papers)
- NEP-ECM-2009-06-17 (Econometrics)
- NEP-ETS-2009-06-17 (Econometric Time Series)
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