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Volatility models

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  • 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.

Suggested Citation

  • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:2011058
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    Keywords

    volatility; ARCH; realized volatility; stochastic volatility;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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