Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model.
Gianna Figà-TalamancaPublished in: Comput. Stat. Data Anal. (2009)
Keyphrases
- probabilistic model
- stochastic model
- statistical model
- management system
- computational model
- mathematical model
- stock index futures
- garch model
- stock price
- high level
- learning algorithm
- theoretical analysis
- neural network
- cost function
- formal model
- bayesian networks
- exchange rate
- stochastic process
- heavy tailed
- genetic algorithm