Peter Boswijk: Econometric volatility models: Theory and application to financial risk management

Abstract

Since the seminal and Nobel-prize winning paper on ARCH (autoregressive-conditional heteroskedasticity) models by Engle (Econometrica 1982), much research in econometrics has been devoted to methods and models for the volatility of financial returns. This lecture provides a brief introduction to ARCH and related volatility models, and discusses some recent advances in multivariate volatility modelling and the use of high-frequency data. Applications to risk measurement and derivative pricing are also discussed.