Dynamics of realized volatilities and correlations: An empirical study

Journal of Banking and Finance

Volumn 30, Issue 7, 2006, Pages 2109-2130

  Ferland, René ^a   Lalancette, Simon ^b  

^a UNIVERSITÉ DU QUÉBEC À MONTRÉAL   (Canada)

^b HEC MONTRÉAL   (Canada)

Author keywords

ARMA; GARCH BEKK; Marked point process; Neural networks; Spread option

Indexed keywords

EID: 33745113478     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.05.020     Document Type: Article

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