Characterizing heteroskedasticity

DOI10.1080/14697688.2010.535555MaRDI QIDQ2866366zbMATH OpenOpenAlexFDO

Authors G. Zumbach

Publication date 13 December 2013

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.535555

zbMATH Keywords

heteroskedasticitylong memoryvolatility modellingheterogeneity of agents

Mathematics Subject Classification ID

Economic time series analysis (91B84) Stochastic models in economics (91B70)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Heterogeneous volatility cascade in financial markets
• Modelling the persistence of conditional variances
• Time reversal invariance in finance

Cited in

(6)

• Stochastic regularization for the mean-variance allocation scheme
• Correlated squared returns
• Experimentation with heteroskedastic noise
• Very slowly decaying auto-correlations: application to volatility in financial markets
• Fast and realistic European ARCH option pricing and hedging
• scientific article; zbMATH DE number 5717495 (Why is no real title available?)

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