Volatility
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Volatility

Torben G. Andersen and Tim Bollerslev

Volatility ranks among the most active and successful areas of research in econometrics and empirical asset pricing finance over the past three decades. This Research Review comprises some of the most influential published works from this burgeoning literature, both classic and contemporary. Topics covered include GARCH, stochastic and multivariate volatility models as well as forecasting, evaluation and high-frequency data. Together with an original introduction by the editors, this definitive compilation presents the most important milestones and contributions that helped pave the way to today’s understanding of volatility.
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About this Research Review

Torben G. Andersen and Tim Bollerslev

About Elgar Research Reviews

Elgar Research Reviews consist of two principal components: a scholarly review article and a list of recommended readings.

Each review article is prepared by a leading scholar and introduces the relevant field of academic study by surveying the seminal and most transformative articles within that field. The article sets the recommended readings into context, revealing how they have shaped scholarship and why they are important to the development of the field. To facilitate further research the recommended readings are fully referenced.

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Volatility

Torben G. Andersen and Tim Bollerslev (eds)

ISBN 978 1 78811 061 7 (2 volume set)

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