Best linear forecast of volatility in financial time series

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 70, Issue 3 2, 2004, Pages

  Krivoruchenko, M I ^a,b,c  

^a INSTITUTE FOR THEORETICAL AND EXPERIMENTAL PHYSICS   (Russian Federation)

^b UNIVERSITY OF TÜBINGEN   (Germany)

^c Metronome Ric Mercati Finanziari   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

APPROXIMATION THEORY; CORRELATION THEORY; ERROR ANALYSIS; MATHEMATICAL MODELS; PROBLEM SOLVING; RANDOM PROCESSES; RISK ASSESSMENT; RISK MANAGEMENT;

AUTOCORRELATION FUNCTION; PRICING MODELS; VOLATILITY CLUSTERING; VOLATILITY FORECASTING; WEIGHT COEFFICIENTS;

TIME SERIES ANALYSIS;

EID: 42749101093     PISSN: 15393755     EISSN: None     Source Type: Journal    
DOI: 10.1103/PhysRevE.70.036102     Document Type: Article

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