Recursive computation of piecewise constant volatilities (Q1927142)

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Recursive computation of piecewise constant volatilities
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    title
    Recursive computation of piecewise constant volatilities (English)
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    author
    Christian Höhenrieder
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    Laurie Davies
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    Walter Kramer
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    publication date
    30 December 2012
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    Mathematics Subject Classification ID
    91G70
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    91G20
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    62P05
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    62-04
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    62G08
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    91B84
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    zbMATH DE Number
    6119774
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    zbMATH Keywords
    volatility
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    stock returns
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    heteroskedasticity
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