Prediction of the Volatility Surface with Generalized Autoregressive Score (GAS) models

Name: Prediction of the Volatility Surface with Generalized Autoregressive Score (GAS) models
Start: 2018-01-01T00:00:00Z
Location: Congresso Nacional de Matemática Aplicada e Computacional (CNMAC), Campinas, Brazil

Date

Jan 1, 2018 12:00 AM

Location

Congresso Nacional de Matemática Aplicada e Computacional (CNMAC), Campinas, Brazil

Prediction of the Volatility Surface with Generalized Autoregressive Score (GAS) models

Rodrigo S. Targino

Assistant Professor of Statistics