himaginary https://blog.hatena.ne.jp/himaginary/ himaginary’s diary https://himaginary.hatenablog.com/ 経済 「The Memory of Volatility」という論文をFrancis Dieboldが紹介している。著者はライプニッツ大学ハノーファーのKai Wenger、Christian Leschinski、Philipp Sibbertsen。 以下はその要旨。 The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led… 190 <iframe src="https://hatenablog-parts.com/embed?url=https%3A%2F%2Fhimaginary.hatenablog.com%2Fentry%2F20171012%2FMemory_of_Volatility" title="ボラティリティの記憶 - himaginary’s diary" class="embed-card embed-blogcard" scrolling="no" frameborder="0" style="display: block; width: 100%; height: 190px; max-width: 500px; margin: 10px 0px;"></iframe> Hatena Blog https://hatena.blog 2017-10-12 00:00:00 rich https://himaginary.hatenablog.com/entry/20171012/Memory_of_Volatility 1.0 100%