Empirical Studies on Volatility in International Stock Markets

Empirical Studies on Volatility in International Sk Markets describes the existing techniques for the measurement and estimation of volatility in international sk markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but al...