Volatility prediction

Aas, Kjersti; Kåresen, Kjetil F.

March 01, 2002

SAMBA

• Areas: Finance and Insurance
• Keywords: VaR, Forward prices, variance-covariance matrix
• Page(s): 31
• Name and number of project: 220036
• Title: Volatility prediction
• Author(s): Aas, Kjersti; Kåresen, Kjetil F.
• Report number: SAMBA/08/02
• Published date: March 01, 2002