An Eigenfunction Approach for Volatility Modeling

Nour Meddahi

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

Keywords: ECONOMETRICS; ECONOMIC MODELS; EXPECTATIONS (search for similar items in EconPapers)
JEL-codes: C50 C51 C52 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2001
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Citations: View citations in EconPapers (73)

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Related works:
Working Paper: An Eigenfunction Approach for Volatility Modeling (2001)
Working Paper: An Eigenfunction Approach for Volatility Modeling (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:2001-29

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