The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile …. Hence the econometrician is asked for accurate measures and reliable forecasts of volatility, not only for pricing and …

assumptions of the Merton model: the assumption of constant asset volatility and the assumption of a single debt maturity. The …

daily stock returns and volatility by using the standard event study methodology. We show that abnormal returns were … produce uncertainty until the monetary policy announcement, that we show trigger a decrease on the volatility and a …

GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …

tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit … des tests pour les effets GARCH multivariés et une généralisation multivariée des tests de ratio de variance), des tests …

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing … literature favors some rather complex volatility specifications whose relative performance is usually assessed through their … likelihood based on a time-series of asset returns. This paper compares a range of volatility models along a different dimension …

) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …

evolution of volatility over time through a GARCH (1,1) modelling. We use the methodology of event studies on a sample of …