Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
Work
Year: 2012
Type: article
Abstract: Summary In conditionally heteroscedastic models, the optimal prediction of powers, or logarithms, of the absolute value has a simple expression in terms of the volatility and an expectation involving ... more
Authors Christian Francq, Jean‐Michel Zakoïan
Cites: 48
Cited by: 38
Related to: 10
FWCI: 3.584
Citation percentile (by year/subfield): 97.62
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
Grant ID 1804 03