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.
General
| Imprint: |
Edward Elgar Publishing Ltd
|
| Country of origin: |
United Kingdom |
| Series: |
The International Library of Critical Writings in Economics series |
| Release date: |
April 2018 |
| Editors: |
Torben G Andersen
• Tim Bollerslev
|
| Dimensions: |
244 x 169 x 102mm (L x W x H) |
| Format: |
Hardcover
|
| Pages: |
1760 |
| ISBN-13: |
978-1-78811-061-7 |
| Categories: |
Books >
Business & Economics >
Economics >
Econometrics >
General
|
| LSN: |
1-78811-061-7 |
| Barcode: |
9781788110617 |
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