Modelling and measuring volatility
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KeywordsLevy process; realised volatility; realised kernel; stochastic volatility;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-01 (All new papers)
- NEP-CBA-2008-12-01 (Central Banking)
- NEP-ECM-2008-12-01 (Econometrics)
- NEP-ORE-2008-12-01 (Operations Research)
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