The multifactor nature of the volatility of futures markets

DOI10.1007/s10614-006-9023-9zbMath1153.91475OpenAlexW2042940512MaRDI QIDQ853577

Thuy-Duong Tô, Carl Chiarella

Publication date: 17 November 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-006-9023-9

zbMATH Keywords

genetic algorithmterm structurevolatilityjumpfutures marketsEurodollar futuresmutlifactor

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach ⋮ Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters

Uses Software

• Genocop
• Ox

Cites Work

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