Allen, David E. - In: Global Business and Economics Review 11 (2009) 3/4, pp. 199-224
economics and its accompanying limitations; the various approaches in financial econometrics to modelling volatility (ARCH …, GARCH, stochastic volatility, realised volatility and attempts to capture 'tail risk'); the measurement of risk implicit in … applications of option pricing models and implied volatility (in particular the VIX index); the Basel Agreements and convention of …