Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities
Pedro de Lima and
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Pedro de Lima: John Hopkins University
No 2000-05, School of Economics Working Papers from University of Adelaide, School of Economics
This paper presents a selective survey of volatility topics, with emphasis on the measurement of volatility and a discussion of some of the most important time series models commonly employed in its modelling. In particular, the paper details the long memory characteristics of volatility, and discusses its possible origins and impact on option pricing. To conclude, the paper discusses statistical tools that discriminate between nonlinearity and nonstationarity.
Keywords: long memory; nonstationarity; nonlinearity; option pricing, volatility (search for similar items in EconPapers)
JEL-codes: G11 G12 C14 C15 (search for similar items in EconPapers)
Pages: 28 pages
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Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:2000-05
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