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Volatility models : from GARCH to multi-horizon cascades

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Persistent link: https://www.econbiz.de/10009716088

Volatility models : from GARCH to multi-horizon cascades

Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - In: Financial markets and the global recession, (pp. 103-159). 2010

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Implementing and interpreting event studies of regulatory changes

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Volatility Models : From GARCH to Multi-Horizon Cascades

Subbotin, Alexander - 2009

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...

Persistent link: https://www.econbiz.de/10013158884