Overlaying time scales in financial volatility data

DOI10.1016/S0731-9053(05)20025-7MaRDI QIDQ3571981zbMATH OpenOpenAlexFDO

Authors Eric Hillebrand

Publication date 30 June 2010

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0731-9053(05)20025-7

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Multiple time scales in volatility and leverage correlations: a stochastic volatility model
• Multiscale behaviour of volatility autocorrelations in a financial market
• Scaling properties of foreign exchange volatility
• Volatility processes and volatility forecast with long memory
• The correlation dimension of returns with stochastic volatility

Cited in

(4)

• Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
• Optimal switching decisions under stochastic volatility with fast mean reversion
• Estimation and prediction of a non-constant volatility
• Time-changed fast mean-reverting stochastic volatility models

Describes a project that uses

Uses Software

• ARFIMA

This page was built for publication: Overlaying time scales in financial volatility data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3571981)