American Economic Association Risk and Volatility: Econometric Models and Financial Practice Author(s): Robert Engle Source: The American Economic Review, Vol. 94, No. 3…

ARCH and GARCH Estimation Dr. Chen, Jo-Hui The types of serial correlation discussed so far refer only to the error term ut. In AR(p) we postulated that ut depends linearly…

ARCH and GARCH Estimation Dr. Chen, Jo-Hui The types of serial correlation discussed so far refer only to the error term ut. In AR(p) we postulated that ut depends linearly…

Bootstrapping Financial Time Series Esther Ruiz and Lorenzo Pascual January 2002 ¤ Abstract It is well known that time series of returns are characterized by volatility…

1. The Ef cient Market Hypothesis through the Eyes of an Arti cial TechnicalAnalyst: An Application of a New Chartist Methodology to High-FrequencyStock Market DataTimur…

Slide 1Overview 2006-2007 A. De Martino, I. Giardina, E. Marinari, I. Perez Castillo, A. Tedeschi, M. Virasoro Slide 2 Laureati/Laureandi Riccardo Di Clemente (Laurea triennale,…

Slide 1SAMSI RISK WS 2007 1 Heavy Tails and Financial Time Series Models Richard A. Davis Columbia University www.stat.columbia.edu/~rdavis Thomas Mikosch University of Copenhagen…

1. Does a Tobin Tax Make Sense? Neil McCulloch Sussex Development Lecture Chichester lecture theatre 11 March 2010 2. Overview What is a Tobin Tax? The characteristics of…

1. Option valuation in a general stochastic volatility model Kai Zhang and Nick Webber University of Warwick 10 November 2010 Zhang and Webber: General stochastic volatility…

1. Nick Watkins British Antarctic Survey, Cambridge, UK  2011, Tuesday, 12th July Complexity, extreme bursts, and volatility bunching in solar-terrestrial…