Risk and Volatility : Econometric Models and Financial Practice

  title={Risk and Volatility : Econometric Models and Financial Practice},
  author={Robert F. Engle},
The advantage of knowing about risks is that we can change our behavior to avoid them. Of course, it is easily observed that to avoid all risks would be impossible; it might entail no flying, no driving, no walking, eating and drinking only healthy foods and never being touched by sunshine. Even a bath could be dangerous. I could not receive this prize if I sought to avoid all risks. There are some risks we choose to take because the benefits from taking them exceed the possible costs. Optimal… CONTINUE READING
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Publications referenced by this paper.
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Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K

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  • Inflation,” Econometrica,
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Highly Influential
7 Excerpts

2002b), “New Frontiers for ARCH,

  • R. Engle
  • Journal of Applied Econometrics,
  • 2002
Highly Influential
4 Excerpts

Measuring Risk-Aversion from Excess Returns on a Stock Index,

  • R. Chou, R. F. Engle, A. Kane
  • Journal of Econometrics,
  • 1992
Highly Influential
3 Excerpts

Portfolio Selection,

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  • Returns,” Review of Financial Studies,
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Highly Influential
3 Excerpts

Forecasting Variance of Variance: The Square-Root, the Affine, and the CEV Garch Models,

  • R. Engle, I. Ishida
  • 2002
1 Excerpt

“ The Econometrics of Ultra - High - Frequency Data

  • R. F. Engle
  • Econometrica
  • 2000
1 Excerpt

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