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Erschienen in:

2010 | OriginalPaper | Buchkapitel

96. Time Series Modeling and Forecasting of the Volatilities of Asset Returns

verfasst von : Tze Leung Lai, Haipeng Xing

Erschienen in: Handbook of Quantitative Finance and Risk Management

Verlag: Springer US

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Abstract

Dynamic modeling of asset returns and their volatilities is a central topic in quantitative finance. Herein we review basic statistical models and methods for the analysis and forecasting of volatilities. We also survey several recent developments in regime-switching, change-point and multivariate volatility models.

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Vorheriges Kapitel Estimation of Short- and Long-Term VaR for Long-Memory Stochastic Volatility Models

Nächstes Kapitel Listing Effects and the Private Company Discount in Bank Acquisitions

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Titel: Time Series Modeling and Forecasting of the Volatilities of Asset Returns
verfasst von: Tze Leung Lai
Haipeng Xing
Verlag: Springer US
Buch: Handbook of Quantitative Finance and Risk Management
Print ISBN: 978-0-387-77116-8

Electronic ISBN: 978-0-387-77117-5

Copyright-Jahr: 2010
DOI: https://doi.org/10.1007/978-0-387-77117-5_96