Open AccessNeglecting parameter changes in GARCH option pricing models and VAR
Author(s) -
Burak Hurmeydan
Publication year - 2008
Language(s) - Uncategorized
Resource type - Dissertations/theses
DOI - 10.31390/gradschool_dissertations.3512
Subject(s) - autoregressive conditional heteroskedasticity , econometrics , volatility (finance) , valuation of options , economics , conditional variance , autoregressive model , stochastic volatility , heteroscedasticity , moneyness , mathematics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom