Volatility

Volatility ranks among the most active and successful areas of research in econometrics and empirical asset pricing finance over the past three decades. This two-volume collection of papers comprises some of the most influential published works from this burgeoning literature, both classic and contemporary. Topics covered include GARCH, stochastic and multivariate volatility models as well as forecasting, evaluation and high-frequency data. Together with an original introduction by the editors, this definitive compilation presents the most important milestones and contributions that helped pave the way to today's understanding of volatility.