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Volatility modelling and forecasting in finance · Study

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ChapterVolatility modelling and forecasting in finance

Linlan Xiao2007

Chapter2007

Volatility modelling and forecasting in finance

Linlan Xiao · Abdurrahman B. Aydemir

21 citations·0/0 files stored·Elsevier eBooks

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Year2007

Typechapter

Published2007-01-01

VenueElsevier eBooks

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/b978-075066942-9.50003-0

openalex_workW173298801

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