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An Eigenfunction Approach for Volatility Modeling

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  • Meddahi, N.

Abstract

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

Suggested Citation

  • Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Handle: RePEc:mtl:montec:2001-29
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    Keywords

    ECONOMETRICS ; ECONOMIC MODELS ; EXPECTATIONS;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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