Handbook of Volatility Models and Their Applications

Handbook of Volatility Models and Their Applications

Editor(s): Luc Bauwens, Christian Hafner, Sebastien Laurent

Published Online: 27 MAR 2012 05:56AM EST

Print ISBN: 9780470872512

Online ISBN: 9781118272039

DOI: 10.1002/9781118272039

About this Book

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 communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency.

Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility:

  • Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets

  • Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities

  • Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures

Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

Table of contents

    1. You have free access to this content
    1. Chapter One

      Volatility Models (pages 1–45)

      Luc Bauwens, Christian Hafner and Sébastien Laurent

  1. Part One: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility

  2. Part Two: Other Models and Methods

    1. Chapter Nine

      Multiplicative Error Models (pages 223–247)

      Christian T. Brownlees, Fabrizio Cipollini and Giampiero M. Gallo

  3. Part Three: Realized Volatility

    1. Chapter Seventeen

      Jumps (pages 403–445)

      Cecilia Mancini and Francesco Calvori

    1. You have free access to this content
    1. You have free access to this content

SEARCH