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A Scientific Classification of Volatility Models

Caporin, Massimiliano and McAleer, Michael (2009) A Scientific Classification of Volatility Models. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0905, 2009, ] (Unpublished)

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Abstract

Modeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without volatility, many temporal and spatial variables would simply be constants. Our purpose is to propose a scientific classification of the alternative volatility models and approaches that are available in the literature, following the Linnaean taxonomy. This scientific classification is used because the literature has evolved as a living organism, with the birth of numerous new species of models.


Item Type:Working Paper or Technical Report
Additional Information:

Massimiliano Caporin pertenece a la Università degli Studi di Padova, Dipartimento di Scienze Economiche “Marco Fanno”.

Subjects:Sciences > Statistics > Mathematical statistics
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2009
Number:0905
ID Code:8591
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Deposited On:03 Mar 2009 10:09
Last Modified:06 Feb 2014 08:10

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