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volatility is unobservable but predictable. it means risk in financial market. 金融市场里的波动性一直是资产定价、资产组合和风险管理的中心话题。正如T.G. Andersen, T. Bollerslev等人所言：“financial market voaltility is central to the theroy and practice of asset pricing, asset allocation, and risk management.”
我把我写学位论文时读的一些参考论文贴于此，希望感兴趣的同学可以分享，很有意思的：〉具体内容就不多介绍了，看吧：〉
基础知识预备：先读读J. Hull 的“options, futures and other derivatives”有关章节，以及金融数学的相关知识，如：随机过程...
Volatility Distribution in the S&P500 Stock Index
Intra-Day Features of Realized Volatility Evidence from an Emerging Market
estimate variances from high, low and closing prices
Processes of normal inverse Gaussian type
[此贴子已经被作者于2007-9-2 21:07:56编辑过]
Empirical properties of asset returns
Measuring volatility with the realized range
Realized Range-Based Estimation of Integrated Variance
Estimating and Testing Stochastic Volatility Models using Realized measures
Realized Volatility and Correlation
Nonlinear Features of Realized FX Volatility
Return-based and range-based (co)variance estimation – with an application to foreign exchange markets
Extreme Distribution of Realized and Range-based Risk Measures
关于波动性volatility的一系列论文：〉
Econometrics of Testing for Jumps in Financial Economics Using Bipower variation
Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models.
Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models.
Power and Bipower Variation with Stochastic Volatility and Jumps
Realized Stock Volatility
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Asymptotic Theory for Range-Based Estimation of Quadratic Variation of Discontinuous Semimartingales
How accurate is the asymptotic approximation to the distribution of realised variance
range-based estimation of stochastic volatility models Financial Market Volatility
CORRECTING THE ERRORS VOLATILITY FORECAST EVALUATION USING HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES
ESTIMATING QUADRATIC VARIATION USING REALIZED VARIANCE
Consistent High-Precision Volatility from High-Frequency Data
BRIDGING THE GAP BETWEEN THE DISTRIBUTION OF REALIZED (ECU) VOLATILITY AND ARCH MODELLING (OF THE EURO) THE GARCH-NIG MODEL
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