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Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons

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  • Subbotin, Alexandre

    (HSE, Moscow)

Abstract

We overview main approaches to modeling stock prices and exchange rates volatility in connection with empirical properties of the corresponding time series. Special attention is due to properties of volatility at multiple time hori-zons and to characteristics of econometric models associated with time aggregation

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  • Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    • Handle: RePEc:ris:apltrx:0113
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    15. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521779654, September.
    16. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
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    More about this item

    Keywords

    volatility; stock prices; exchange rate;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

    Access and download statistics

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