A complete guide to the theory and practice of volatility models in financial engineering
Volatility has become a hot topic in this era of instant communications, spawning a great deal of …

We propose a new dynamic copula model in which the parameter characterizing dependence
follows an autoregressive process. As this model class includes the Gaussian copula with …

The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and
extreme volatility. While it is difficult to assess an intrinsic value to a specific cryptocurrency…

… For m = 4 , we find by simulations 2 that γ 4 ( Δ ) = − 0.1411 < 0 . Our first result is based on …
Hafner acknowledges financial support by the Fonds Spéciaux de Recherche (FSR 05) of the …

Universitext is a series of textbooks that presents material from a wide variety of mathematical
disciplines at master’s level and beyond. The books, often well classtested by their author, …

We introduce a new concept of impulse response functions tracing the effects of independent
shocks on volatility through time while avoiding typical orthogonalization and ordering …

We adapt the Lagrange multiplier (LM) principle to test for noncausality in variance of financial
returns. The new test is compared with a Portmanteau statistic [Cheung, YW, Ng, LK, 1996…

The maximum likelihood estimator applied to the dynamic conditional correlation model is
severely biased in high dimensions. This is, in particular, the case where the cross-section …

Cryptocurrencies lack clear measures of fundamental values and are often associated with
speculative bubbles. This paper introduces a new way of testing for speculative bubbles …

We propose a multivariate generalization of the multiplicative volatility model of Engle and
Rangel (2008), which has a nonparametric long run component and a unit multivariate …