Titlebook: Statistics of Financial Markets; Exercises and Soluti Szymon Borak,Wolfgang Karl H?rdle,Brenda López-Cab Textbook 2013Latest edition Spring

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Time Series with Stochastic Volatility is unobservable and thus must be estimated from market data..Reliable estimations and forecasts of volatility are important for large credit institutes where volatility is directly used to measure risk. The risk premium, for example, is often specified as a function of volatility. It is interesting

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Statistics of Extreme Risks %-VaR and for riskier types of investments, the risk is often underestimated when the innovations are assumed to be normally distributed, since a higher probability of extreme losses can be produced.

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