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Volatility Models
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Bauwens, Luc
[UCL]
Hafner, Christian
[UCL]
Laurent, Sébastien
[Maastricht University]
Hafner, Christian
[UCL]
Laurent, Sébastien
[Maastricht University]
| Document type | Contribution à ouvrage collectif (Book Chapter) – Chapitre |
|---|---|
| Publication date | 2012 |
| Language | Anglais |
| Host document | Bauwens, L., Hafner, C. and S. Laurent ; "Handbook of Volatility Models and Their Applications"- p. 1-45 (ISBN : 978-0-470-87251-2) |
| Publisher | John Wiley & Sons, Inc. (Hoboken, NJ, USA) |
| Publication status | Publié |
| Affiliation | UCL - SSH/LIDAM/CORE - Center for operations research and econometrics |
| Keywords | volatility models ; GARCH ; stochastic volatility ; leverage effect ; realized volatility ; realized variance |
| Links |
| Bibliographic reference | Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility Models. In: Bauwens, L., Hafner, C. and S. Laurent, Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc. : Hoboken, NJ, USA 2012, p. 1-45 |
|---|---|
| Permanent URL | http://hdl.handle.net/2078.1/119729 |