Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … management. The recent availabil-
ity of high-frequency data allows for re ned methods in this eld.
In particular, more precise … portfolio as well as risk management
depend heavily on a correct modelling of the underlying(s). This insight
has spurred …