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Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets

Cristina Amado and Helinä Laakkonen

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0006
Subject:
Economics and Finance, Econometrics

The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and ... More


Practical Volatility and Correlation Modeling for Financial Market Risk Management

Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold

in The Risks of Financial Institutions

Published in print:
2007
Published Online:
February 2013
ISBN:
9780226092850
eISBN:
9780226092980
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226092980.003.0012
Subject:
Economics and Finance, Financial Economics

This chapter demonstrates how important it is to recognize time-varying volatility and correlation in value at risk estimation. It also illustrates how new techniques in multivariate time-series ... More


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