Overlaying Time Scales in Financial Volatility Data
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References listed on IDEAS
- Elena Andreou & Eric Ghysels, 2002.
"Detecting multiple breaks in financial market volatility dynamics,"
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matthew Lorig, 2010. "Time-Changed Fast Mean-Reverting Stochastic Volatility Models," Papers 1010.5203, arXiv.org, revised Apr 2012.
- Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.
- Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig, 2010. "Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models," Papers 1007.4361, arXiv.org, revised Apr 2012.
More about this item
KeywordsGARCH; volatility persistence; spurious high persistence; long memory; fractional integration; change-points; wavelets; time scales;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BEC-2005-04-16 (Business Economics)
- NEP-ECM-2005-04-16 (Econometrics)
- NEP-ETS-2005-04-16 (Econometric Time Series)
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