Characterizing heteroskedasticity

DOI10.1080/14697688.2010.535555zbMATH Open1277.91147OpenAlexW4242226918MaRDI QIDQ2866366FDOQ2866366

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

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zbMATH Keywords

heteroskedasticitylong memoryvolatility modellingheterogeneity of agents

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• Stochastic regularization for the mean-variance allocation scheme
• Experimentation with heteroskedastic noise
• Very slowly decaying auto-correlations: application to volatility in financial markets
• Fast and realistic European ARCH option pricing and hedging
• Title not available (Why is that?)

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