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Volatility models

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Author Info

  • BAUWENS, Luc

    ()
    (Université catholique de Louvain, CORE, B-1348 Louvain-la-Neuve, Belgium)

  • HAFNER, Christian

    ()
    (Université catholique de Louvain, CORE & ISBA, Belgium)

  • LAURENT, Sébastien

    (Maastricht University, The Netherlands)

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.

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2011058.

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Date of creation: 07 Dec 2011
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Handle: RePEc:cor:louvco:2011058

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Keywords: volatility; ARCH; realized volatility; stochastic volatility;

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