Volatility Components, Affine Restrictions, and Nonnormal Innovations (Q3063001): Difference between revisions
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| Property / DOI: 10.1198/jbes.2009.06122 / rank | |||
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Latest revision as of 09:09, 20 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Volatility Components, Affine Restrictions, and Nonnormal Innovations |
scientific article |
Statements
Volatility Components, Affine Restrictions, and Nonnormal Innovations (English)
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30 December 2010
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affine
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component model
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generalized autoregressive conditional heteroscedasticity
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long memory
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normality
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option valuation
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volatility
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