Volatility forecasting is an important task for those associated with the financial markets, and has occupied the attention of academics and practitioners over the last two decades. This research paper reflects the importance of volatility in option pricing, security valuation and risk...

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a...

This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems....