Forecasting Volatility Using Long Memory and Comovements:...

Journal of Financial and Quantitative Analysis 2010 / 4 Vol. 45; Iss. 2

Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation under SFAS 123R

Jiang, George J., Tian, Yisong S.
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Volume:
45
Language:
english
Journal:
Journal of Financial and Quantitative Analysis
DOI:
10.1017/s0022109010000116
Date:
April, 2010
File:
PDF, 200 KB
english, 2010
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