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Synopsis
Volatility ranks among the most active and successful areas of research in econometrics and empirical asset pricing finance over the past three decades. This research review studies and analyses some of the most influential published works from this burgeoning literature, both classic and contemporary. Topics covered include GARCH, stochastic and multivariate volatility models as well as forecasting, evaluation and high-frequency data. This insightful review presents and discusses the most important milestones and contributions that helped pave the way to today's understanding of volatility.
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About the Author
Edited by Torben G. Andersen, Nathan S. and Mary P. Sharp Distinguished Professor of Finance, Kellogg School of Management, Northwestern University and Tim Bollerslev, Juanita and Clifton Kreps Distinguished Professor of Economics and Professor of Finance, Duke University, US
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- PublisherEdward Elgar Publishing Ltd
- Publication date2018
- ISBN 10 1788110617
- ISBN 13 9781788110617
- BindingHardcover
- LanguageEnglish
- Number of pages1760
- EditorAndersen Torben G., Bollerslev Tim
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Volatility (2 Volume Set) (International Library of Critical Writings in Economics series, #344)
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