Hedging options in a garch environment: testing the term structure of stochastic volatility models
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
1994
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| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
4958 |
| Subjects: | |
| Physical Description: | 26 S. graph. Darst. |
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| 650 | 4 | |a Heteroscedasticity | |
| 650 | 4 | |a Stochastic processes | |
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| 700 | 1 | |a Rosenberg, Joshua |e Verfasser |4 aut | |
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| spelling | Engle, Robert F. 1942- Verfasser (DE-588)128388528 aut Hedging options in a garch environment testing the term structure of stochastic volatility models Robert F. Engle ; Joshua Rosenberg Cambridge, Mass. 1994 26 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 4958 Ökonometrisches Modell Hedging (Finance) Econometric models Heteroscedasticity Stochastic processes Stock options Econometric models Rosenberg, Joshua Verfasser aut National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 4958 (DE-604)BV002801238 4958 |
| spellingShingle | Engle, Robert F. 1942- Rosenberg, Joshua Hedging options in a garch environment testing the term structure of stochastic volatility models National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Hedging (Finance) Econometric models Heteroscedasticity Stochastic processes Stock options Econometric models |
| title | Hedging options in a garch environment testing the term structure of stochastic volatility models |
| title_auth | Hedging options in a garch environment testing the term structure of stochastic volatility models |
| title_exact_search | Hedging options in a garch environment testing the term structure of stochastic volatility models |
| title_full | Hedging options in a garch environment testing the term structure of stochastic volatility models Robert F. Engle ; Joshua Rosenberg |
| title_fullStr | Hedging options in a garch environment testing the term structure of stochastic volatility models Robert F. Engle ; Joshua Rosenberg |
| title_full_unstemmed | Hedging options in a garch environment testing the term structure of stochastic volatility models Robert F. Engle ; Joshua Rosenberg |
| title_short | Hedging options in a garch environment |
| title_sort | hedging options in a garch environment testing the term structure of stochastic volatility models |
| title_sub | testing the term structure of stochastic volatility models |
| topic | Ökonometrisches Modell Hedging (Finance) Econometric models Heteroscedasticity Stochastic processes Stock options Econometric models |
| topic_facet | Ökonometrisches Modell Hedging (Finance) Econometric models Heteroscedasticity Stochastic processes Stock options Econometric models |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT englerobertf hedgingoptionsinagarchenvironmenttestingthetermstructureofstochasticvolatilitymodels AT rosenbergjoshua hedgingoptionsinagarchenvironmenttestingthetermstructureofstochasticvolatilitymodels |