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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...