What good is a volatility model?
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Publication:4646481
DOI10.1088/1469-7688/1/2/305zbMath1405.91612OpenAlexW2117019869MaRDI QIDQ4646481
Andrew J. Patton, Robert F. Engle
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://archive.nyu.edu/handle/2451/26881
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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