volatility is unobservable but predictable. it means risk in financial market. 金融市场里的波动性一直是资产定价、资产组合和风险管理的中心话题。正如T.G. Andersen, T. Bollerslev等人所言:“financial market voaltility is central to the theroy and practice of asset pricing, asset allocation, and risk management.”
我把我写学位论文时读的一些参考论文贴于此,希望感兴趣的同学可以分享,很有意思的:〉具体内容就不多介绍了,看吧:〉
基础知识预备:先读读J. Hull 的“options, futures and other derivatives”有关章节,以及金融数学的相关知识,如:随机过程...
Intra-daily information of range-based volatility for MEM-GARCH
[此贴子已经被作者于2007-9-2 21:07:56编辑过]