On the online estimation of local constant volatilities (Q76074)
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scientific article; zbMATH DE number 6119740
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On the online estimation of local constant volatilities |
scientific article; zbMATH DE number 6119740 |
Statements
56
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11
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3080-3090
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November 2012
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30 December 2012
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On the online estimation of local constant volatilities (English)
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heteroscedasticity
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structural breaks
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heavy tails
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outliers
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tests for equality of variances
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0.8065090775489807
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0.8054302334785461
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0.8007768988609314
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0.7871079444885254
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0.7795250415802002
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