While it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for cha
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical poin
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Fo
Handbook chapter on volatility forecasting using high-frequency data, with surveys of reduced-form volatility forecasts and model-based volatility forecasts.
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication