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- W2374499192 abstract "The paper reviews all main theories and empirical research of volatility measurement models in international literatures.It surveys the characteristic and statistical inference of parametric procedures that focused on ex-ante expected volatility(including discrete and continuous-time models) and nonparametric procedures that focused on ex-post actual volatility(including ARCH filters,smoothers models and realized volatility models).Advantages and disadvantages are also compared among these models.At last,the paper discusses the directions of future research." @default.
- W2374499192 created "2016-06-24" @default.
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- W2374499192 date "2005-01-01" @default.
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- W2374499192 title "Research on Volatility Measurement Models: Past Development and Future Challenge" @default.
- W2374499192 hasPublicationYear "2005" @default.
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