Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities

This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a discussion of some of the most important time series models commonly employed in its modelling. In particular, the paper details the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To conclude, the paper discusses statistical tools that discriminate between nonlinearity and nonstationarity.

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Year of publication:	2000
Authors:	Lima, Pedro J. F. de ; Barnes, Michelle L.
Institutions:	School of Economics, University of Adelaide
Subject:	long memory \| nonstationarity \| nonlinearity \| option pricing \| volatility

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Extent:	application/pdf
Series:	School of Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2000-05 28 pages
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008462875