6533b838fe1ef96bd12a3acd
RESEARCH PRODUCT
Volatility Transmission Models: A Survey
Francisco ClimentPilar Sorianosubject
Scope (project management)Stochastic volatilityOrder (exchange)Financial economicsFinancial models with long-tailed distributions and volatility clusteringAutoregressive conditional heteroskedasticityVolatility swapVolatility smileEconometricsEconomicsImplied volatilitydescription
This study reviews the literature on volatility transmission in order to determine what we have learnt about the different methodologies applied. In particular, GARCH, regime switching and stochastic volatility models are analysed. In addition, this study covers several concrete aspects such as their scope of application, the overlapping problem, the concept of efficiency and asymmetry modelling. Finally, emerging topics and unanswered questions are identified, serving as an agenda for future research.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2005-01-01 | SSRN Electronic Journal |