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Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons

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  • Subbotin, Alexandre

    (HSE, Moscow)

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    Abstract

    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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    File URL: http://pe.cemi.rssi.ru/pe_2009_3_94-138.pdf
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    Bibliographic Info

    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 15 (2009)
    Issue (Month): 3 ()
    Pages: 94-138

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    Handle: RePEc:ris:apltrx:0113

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    Web page: http://appliedeconometrics.cemi.rssi.ru/

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    Keywords: volatility; stock prices; exchange rate;

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