Testing robustness in calibration of stochastic volatility models

DOI10.1016/j.ejor.2004.01.004zbMath1066.91081OpenAlexW2006832608MaRDI QIDQ704071

Maria Letizia Guerra, Laerte Sorini

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.004

zbMATH Keywords

marketstochastic volatility modelsMonte Carlo procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (2)

Calibration of GARCH models using concurrent accelerated random search ⋮ Quantile and expectile smoothing based on \(L_1\)-norm and \(L_2\)-norm fuzzy transforms

Cites Work

• Unnamed Item
• Complete Models with Stochastic Volatility

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