Multiperiod volatility
October 22, 2011
My FM320 student Dominic Clark pointed out that I could have been more clear on page 39 in the last text paragraph. Its not wrong, but a better way is:
where \( E_t(Y^2_{t+1})\) indicates volatility…
October 22, 2011
My FM320 student Dominic Clark pointed out that I could have been more clear on page 39 in the last text paragraph. Its not wrong, but a better way is:
where \( E_t(Y^2_{t+1})\) indicates volatility…