Stochastic volatility

Related lectures (32)

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Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.

Covers volatility modeling in risk management, including ARMA, ARCH, GARCH models, causal representation, and forecasting.

Explores portfolio optimization, efficient frontier, CAPM, and risk management in finance.

Explores ARCH and GARCH models, volatility clustering, time series, estimation, and filtering steps in financial and macroeconomic contexts.

Explores financial time series, including ARMA and GARCH processes, emphasizing risk estimation.

Explores risk and return in finance, covering securities' performance, rates of return, variance, volatility, and portfolio diversification.

Covers the analysis of heavy-tailed price returns and clustered volatility in financial data.

Covers ARCH and GARCH models for volatility forecasting in risk-factor changes.

Covers volatility modeling in quantitative risk management, including ARMA, ARCH, GARCH models, and forecasting.

Covers GARCH processes for financial time series analysis.