-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics …. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some … developments in volatility models, with focus on time varying and stochastic volatility as well as nonparametric volatility …