A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
In this manuscript, I investigate the time-varying volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of v...
| Main Author: | |
|---|---|
| Format: | Others |
| Published: |
ScholarWorks@UNO
2006
|
| Online Access: | http://scholarworks.uno.edu/td/1049 http://scholarworks.uno.edu/cgi/viewcontent.cgi?article=2030&context=td |