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A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of Dow Jones
Externí odkaz:
http://arxiv.org/abs/1404.7632
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of Dow Jones
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f67bc447d524979deda7dde33c53fb0
https://hal.archives-ouvertes.fr/hal-01408495/document
https://hal.archives-ouvertes.fr/hal-01408495/document