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Torben G. Andersen, Tim Bollerslev - Volatility, Inbunden

Inbunden, Engelska, 2018

Del 344 i serien The International Library of Critical Writings in Economics series

Volatility

Av Torben G. Andersen, Tim Bollerslev

17239 kr

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Beskrivning
Volatility ranks among the most active and successful areas of research in econometrics and empirical asset pricing finance over the past three decades. This research review studies and analyses some of the most influential published works from this burgeoning literature, both classic and contemporary. Topics covered include GARCH, stochastic and multivariate volatility models as well as forecasting, evaluation and high-frequency data. This insightful review presents and discusses the most important milestones and contributions that helped pave the way to today's understanding of volatility.
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Edited by Torben G. Andersen, Nathan S. and Mary P. Sharp Distinguished Professor of Finance, Kellogg School of Management, Northwestern University and Tim Bollerslev, Juanita and Clifton Kreps Distinguished Professor of Economics and Professor of Finance, Duke University, US

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‘This anthology of classical and recent articles will be very useful to all researchers and students interested in the various econometric aspects of volatility measurement, modeling, forecasting, and their applications in finance. The introductory chapter by Andersen and Bollerslev - well-known top experts in the field - offers the needed guidance to fully benefit from the collected papers.’

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