Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons

Alexandre Subbotin
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Alexandre Subbotin: HSE, Moscow

Applied Econometrics, 2009, vol. 15, issue 3, 94-138

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

Keywords: volatility; stock prices; exchange rate (search for similar items in EconPapers)
JEL-codes: C22 C52 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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