The multifactor nature of the volatility of futures markets
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Publication:853577
DOI10.1007/s10614-006-9023-9zbMath1153.91475MaRDI QIDQ853577
Publication date: 17 November 2006
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-006-9023-9
genetic algorithm; term structure; volatility; jump; futures markets; Eurodollar futures; mutlifactor
91B26: Auctions, bargaining, bidding and selling, and other market models
Related Items
The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach, Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
Uses Software
Cites Work
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