A Scientific Classification of Volatility Models
AbstractModeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without volatility, many temporal and spatial variables would simply be constants. Our purpose is to propose a scientific classification of the alternative volatility models and approaches that are available in the literature, following the Linnaean taxonomy. This scientific classification is used because the literature has evolved as a living organism, with the birth of numerous new species of models.
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Bibliographic InfoPaper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0905.
Length: 8 pages
Date of creation: 2009
Date of revision:
Other versions of this item:
- Massimiliano Caporin & Michael McAleer, 2009. "A Scientific Classification of Volatility Models," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 0909, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
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RePEc Biblio mentionsAs found on the RePEc Biblio, the curated bibliography for Economics:
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