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A New Approach to Volatility Modeling : the High-Dimensional Markov Model

Bibliographic reference Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud. A New Approach to Volatility Modeling : the High-Dimensional Markov Model. CORE Discussion Paper ; 2016/42 (2016) 50 pages
Permanent URL http://hdl.handle.net/2078.1/179137