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Stochastic interest rate volatility modeling with a continuous-time GARCH(1, 1) model.

Selçuk BayraciGazanfer Ünal
Published in: J. Comput. Appl. Math. (2014)
Keyphrases
  • garch model
  • stock market
  • chinese stock market
  • multivariate time series
  • stock index
  • sar images
  • stochastic processes
  • short term
  • heavy tailed
  • probability distribution
  • spot market