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Wiley Handbooks in Financial Engineering and Econometrics Ser.: Handbook of Volatility Models and Their Applications by Sebastien Laurent, Christian M. Hafner and Luc Bauwens (2012, Hardcover)

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By Luc Bauwens, Christian M. Hafner, Sebastien Laurent. Volatility Models 1 1.1 Introduction 1 1.2 GARCH 1 1.3 Stochastic Volatility 31 1.4 Realized Volatility 42 Part I. ARCH and SV 2. Nonlinear ARCH Models 63 2.1 Introduction 63 2.2 Standard GARCH model 64 2.3 Predecessors to Nonlinear GARCH 65 2.4 Nonlinear ARCH and GARCH 67 2.5 Testing 76 2.6 Estimation 81 2.7 Forecasting 83 2.8 Multiplicative Decomposition 86 2.9 Conclusion 88 3.