VOLATILITY MODELS I
Wednesday 28th August 2002,
09:30 - 11:00
Room: 1.3
Session Chair(s):
Gael Martin, Monash University, AUSTRALIA
Category: Econometrics
A MODEL FOR INTRA-DAILY VOLATILITYWITH MULTIPLE INDICATORS
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Presenter(s): |
Giampiero M. Gallo, Università di Firenze, ITALY |
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Co-Author(s): |
Robert F. Engle, Stern School of Business, New York University, UNITED STATES |
BAYESIAN ESTIMATION OF A STOCHASTIC VOLATILITY MODEL USING OPTION AND SPOT PRICES
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Presenter(s): |
Gael Martin, Monash University, AUSTRALIA |
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Co-Author(s): |
none |
A SIMPLE ESTIMATION METHOD AND FINITE-SAMPLE INFERENCE FOR A STOCHASTIC VOLATILITY MODEL.
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Presenter(s): |
Valery Pascale, University of Montreal, CRDE,CIRANO, CANADA |
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Co-Author(s): |
Jean-Marie Dufour , CRDE, CIRANO and Universite de Montreal. , CANADA |
AGGREGATION AND MEMORY OF MODELS OF CHANGING VOLATILITY
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Presenter(s): |
Paolo Zaffaroni, Bank of Italy, ITALY |
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Co-Author(s): |
none |
Total Papers in This session: 4
Session Ref: 503
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