Risk and Volatility: Econometric Models and Financial Practice
American Economic Review
vol. 94,
no. 3, June 2004
(pp. 405-420)
Citation
Engle, Robert. 2004. "Risk and Volatility: Econometric Models and Financial Practice." American Economic Review, 94 (3): 405-420. DOI: 10.1257/0002828041464597JEL Classification
- C22 Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 Model Construction and Estimation
- G12 Asset Pricing; Trading Volume; Bond Interest Rates