Model‐based quantification of the volatility of options at transaction level with extended count regression models (Q5430333): Difference between revisions
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Latest revision as of 14:13, 27 June 2024
scientific article; zbMATH DE number 5220032
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model‐based quantification of the volatility of options at transaction level with extended count regression models |
scientific article; zbMATH DE number 5220032 |
Statements
Model‐based quantification of the volatility of options at transaction level with extended count regression models (English)
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16 December 2007
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index options
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quotation data
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absolute returns
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Poisson regression
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autocorrelation
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Markov chain Monte Carlo
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