Volatility (The International Library of Critical Writings in Economics series) - Hardcover

 
9781788110617: Volatility (The International Library of Critical Writings in Economics series)
Hardcover
ISBN 10: 1788110617 ISBN 13: 9781788110617
Publisher: Edward Elgar Publishing Ltd, 2018

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

"About this title" may belong to another edition of this title.

Publisher
Edward Elgar Publishing Ltd
Publication date
2018
Language
English
ISBN 10 
1788110617
ISBN 13 
9781788110617
Binding
Hardcover
Number of pages
1760
Editor
Andersen Torben G., Bollerslev Tim