Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "générateur infinitésimal"

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  • An Eigenfunction Approach for Volatility Modeling 

    Meddahi, Nour (Université de Montréal. Département de sciences économiques., 2001)
    In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the ...

  • A Theoretical Comparison Between Integrated and Realized Volatilies 

    Meddahi, Nour (Université de Montréal. Département de sciences économiques., 2001)
    In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the ...