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  3. American Economic Review
  4. June 2004
  5. Risk and Volatility: Econometric Models and Financial Practice

Risk and Volatility: Econometric Models and Financial Practice

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Citation

Engle, Robert. 2004. "Risk and Volatility: Econometric Models and Financial Practice." American Economic Review, 94 (3): 405-420. DOI: 10.1257/0002828041464597

JEL Classification

  • C22 Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • C51 Model Construction and Estimation
  • G12 Asset Pricing; Trading Volume; Bond Interest Rates