发帖
雷达卡
A Practical Guide to Forecasting Financial Market Volatility (2005)
Author: Ser-Huang Poon
Contents:
1 Volatility Definition and Estimation
2 Volatility Forecast Evaluation
3 Historical Volatility Models
4 Arch
5 Linear and Nonlinear Long Memory Models
6 Stochastic Volatility
7 Multivariate Volatility Models
8 Black–Scholes
9 Option Pricing with Stochastic Volatility
10 Option Forecasting Power
11 Volatility Forecasting Records
12 Volatility Models in Risk Management
13 VIX and Recent Changes in VIX
14 Where Next?
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