Stochastic volatility duration models (Q2439049)

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Stochastic volatility duration models
scientific article

    Statements

    title
    Stochastic volatility duration models (English)
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    author
    Eric Ghysels
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    Christian Gouriéroux
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    publication date
    7 March 2014
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    zbMATH Keywords
    factor models
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    duration
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    liquidity risk
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    high frequency data
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    time at risk
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    Identifiers

    Mathematics Subject Classification ID
    91B70
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    62P05
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    62M10
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    91B30
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    zbMATH DE Number
    6266298
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    Wikidata QID
    Q56602075
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