Recent developments in volatility modeling and applications 外文参考文献.docVIP

RECENTDEVELOPMENTSINVOLATILITYMODELING ANDAPPLICATIONS A.THAVANESWARAN,S.S.APPADOO,ANDC.R.BECTOR Received21February2006;Revised10July2006;Accepted24September2006 In?nancial modeling, ithas been constantly pointed out that volatility clustering and conditionalnonnormalityinducedleptokurtosisobservedinhighfrequencydata.Finan- cialtimeseries dataarenotadequately modeled bynormal distribution, andempirical evidenceonthenon-normality assumptioniswelldocumentedinthe?nancialliterature (detailsareillustratedbyEngle(1982)andBollerslev(1986)).AnARMArepresentation hasbeenusedbyThavaneswaran etal.,i