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Parametric and nonparametric models and methods in financial econometrics
Diffusion model hidden Markov model jump diffusionmodel Markov chain model validation nonlinear time series nonparametric density estimate nonparametric curve estimate stochastic differential equation stochastic volatility
2009/2/11
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...
Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Leverage volatility feedback effects
2010/10/29
Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston
(1993) stochastic volatility model. In order to obtain these cross-covariances the authors
use an incorrect ...
Parametric and nonparametric models and methods in financial econometrics
Parametric nonparametric models financial econometrics
2010/12/13
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...