A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options.
Luca Vincenzo BallestraEnzo D'innocenzoAndrea GuizzardiPublished in: Eur. J. Oper. Res. (2024)
Keyphrases
- stock market
- stock price
- option pricing
- dow jones
- financial time series
- stock trading
- stock data
- non stationary
- short term
- stock market data
- stock exchange
- financial data
- stock returns
- financial markets
- chinese stock market
- garch model
- long term
- stock index futures
- stock index
- interaction model
- market prices
- data mining
- human robot interaction
- historical data
- multi agent
- learning algorithm