Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons

We overview main approaches to modeling stock prices and exchange rates volatility in connection with empirical properties of the corresponding time series. Special attention is due to properties of volatility at multiple time hori-zons and to characteristics of econometric models associated with time aggregation

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Year of publication:	2009
Authors:	Subbotin, Alexandre
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 15.2009, 3, p. 94-138
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	volatility \| stock prices \| exchange rate

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

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