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. Stochastic volatility models remain outside this review. -- ARCH ; conditional heteroskedasticity ; GARCH; nonlinear GARCH …; volatility modelling …
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There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
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and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can …
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