Computational finance: correlation, volatility, and markets

DOI10.1002/WICS.1323MaRDI QIDQ6604414zbMATH OpenWikidataFDO

Authors Katherine Bennett Ensor, Ginger M. Koev

Publication date 12 September 2024

Published in Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

zbMATH Keywords

regime switchingdynamic conditional correlationstock volatilityco-volatility forecastingGARCH/MGARCH

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• Vast volatility matrix estimation for high-frequency financial data

Cited in

(1)

• Statistical Foundations Driving 21st Century Innovation

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