Open AccessNeglecting parameter changes in GARCH option pricing models and VAR
Author(s) -
Burak Hurmeydan
Publication year - 2022
Language(s) - Uncategorized
Resource type - Dissertations/theses
DOI - 10.31390/gradschool_dissertations.3512
Subject(s) - autoregressive conditional heteroskedasticity , econometrics , volatility (finance) , valuation of options , conditional variance , economics , autoregressive model , stochastic volatility , heteroscedasticity , moneyness , mathematics