Volatility models

Luc Bauwens, Christian Hafner and Sébastien Laurent

No 2011058, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility models and some applications. The review is linked with the other chapters that contain more detailed presentations.

Keywords: volatility; ARCH; realized volatility; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C32 C58 (search for similar items in EconPapers)
Date: 2011-12-07
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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: Volatility Models (2012)
Working Paper: Volatility Models (2011)
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