RT Report
T1 A Scientific Classification of Volatility Models
A1 Caporin, Massimiliano
A1 McAleer, Michael
AB 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.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2009
FD 2009-02
LK https://hdl.handle.net/20.500.14352/49251
UL https://hdl.handle.net/20.500.14352/49251
LA eng
NO Massimiliano Caporin pertenece a la Università degli Studi di Padova, Dipartimento di Scienze Economiche “Marco Fanno”.
NO Italian MUS Grant
NO Australian Research Council
DS Docta Complutense
RD 8 abr 2025