Further Thoughts

Gilles Zumbach
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Gilles Zumbach: Consulting in Financial Research

Chapter Chapter 20 in Discrete Time Series, Processes, and Applications in Finance, 2013, pp 299-307 from Springer

Abstract: Abstract This chapter collects some scattered topics that deserve further discussion or are areas for further research. Among the topics are the definition of the volatility, the importance of heteroscedasticity, the origin of the fat-tailed distributions, the convergence to the normal distribution, or the mean reversion in relation with the very long-term behavior of the processes.

Keywords: Interest Rate; Central Limit Theorem; Pension Fund; Stochastic Volatility; Credit Default Swap (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-31742-2_20

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DOI: 10.1007/978-3-642-31742-2_20

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