RFE: Conference Listings
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European University Institute, Florence;EABCN Euro Area Business Cycle Network
- November 13-15, 2013
- 19th EABCN training school on 'Volatility: Measurement, Modelling and Forecasting' - Euro Area Business Cycle Network
- Florence, European University Institute, Italy
- This course covers empirical methods for volatility measurement, modelling and forecasting.Part 1 considers the highly parametric setting of GARCH models as well as the more complex setting of stochastic volatility models. Part 2 focuses on the relatively simple modelfree realized volatility measures. Part 3 explores the implied volatility measures and the related procedures for extracting measures of the time-varying volatility risk premium. In all cases, we will consider the complications and possibilities associated with longer term volatility forecasts and the inclusion of macroeconomic variables in the forecast procedures.[gem?_?? den Informationen des Anbieters - according to site editor's information]
- JEL Code: