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Volatility models

  • 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)

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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