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Contents: Acknowledgements Introduction Torben G. Andersen and Tim Bollerslev PART I PROLOGUE 1. Fischer Black (1976), `Studies of Stock Price Volatility Changes', Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section, 177-81 PART II GARCH MODELS 2. Robert F. Engle (1982), 'Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation', Econometrica, 50 (4), July, 987-1007 3. Tim Bollerslev (1986), `Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, 31 (3), April, 307-27 4. Robert F. Engle, David M. Lilien and Russell P. Robins (1987), `Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model', Econometrica, 55 (2), March, 391-407 5. Kenneth R. French, G. William Schwert and Robert F. Stambaugh (1987), `Expected Stock Returns and Volatility', Journal of Financial Economics, 19 (1), September, 3-29 6. G. William Schwert (1989), `Why Does Stock Market Volatility Change Over Time?', Journal of Finance, XLIV (5), December, 1115-53 7. Tim Bollerslev (1987), `A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return', Review of Economics and Statistics, 69 (3), August, 542-7 8. Tim Bollerslev and Jeffrey M. Wooldridge (1992), `Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances', Econometric Reviews, 11 (2), 143-72 9. Alexander J. McNeil and Rudiger Frey (2000), `Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach', Journal of Empirical Finance: Special Issue on Risk Management, 7 (3-4), November, 271-300 10. Lawrence R. Glosten, Ravi Jagannathan and David E. Runkle (1993), `On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks', Journal of Finance, XLVIII (5), December, 1779-801 11. Jean-Michel Zakoian (1994), `Threshold Heteroskedastic Models', Journal of Economic Dynamics and Control, 18 (5), September, 931-55 12. Daniel B. Nelson (1991), `Conditional Heteroskedasticity in Asset Returns: A New Approach', Econometrica, 59 (2), March, 347-70 13. Zhuanxin Ding, Clive W. J. Granger and Robert F. Engle (1993), `A Long Memory Property of Stock Market Returns and a New Model', Journal of Empirical Finance, 1 (1), June, 83-106 14. Richard T. Baillie, Tim Bollerslev and Hans Ole Mikkelsen (1996), `Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, 74 (1), September, 3-30 15. Peter R. Hansen and Asger Lunde (2005), `A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?', Journal of Applied Econometrics, 20 (7), December, 873-89 PART III STOCHASTIC VOLATILITY MODELS 16. Peter K. Clark (1973), `A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices', Econometrica, 41 (1), January, 135-55 17. George E. Tauchen and Mark Pitts (1983), `The Price Variability-Volume Relationship on Speculative Markets', Econometrica, 51 (2), March, 485-505 18. Torben G. Andersen (1996), `Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility', Journal of Finance, LI (1), March, 169-204 19. Stephen J. Taylor (1982), `Financial Returns Modelled by the Product of Two Stochastic Processes - A Study of Daily Sugar Prices, 1961-79', in Oliver D. Anderson (ed.), Time Series Analysis: Theory and Practice 1: Proceedings of the International Conference Held at Valencia, Spain, June 1981, Amsterdam, the Netherlands: North-Holland Publishing Company, 203-26 20. Torben G. Andersen (1994), `Stochastic Autoregressive Volatility: A Framework for Volatility Modeling', Mathematical Finance, 4 (2), April, 75-102 21. C. Gourieroux, A. Monfort and E. Renault (1993), `Indirect Inference', Journal of Applied Econometrics, Supplement: Special Issue on Econometric Inference Using Simulation Techniques, 8 (S1), December, S85-S118 22. A. Ronald Gallant and George Tauchen (1996), `Which Moments to Match?', Econometric Theory, 12 (4), October, 657-81 23. Torben G. Andersen and Jesper Lund (1997), `Estimating Continuous-Time Stochastic Volatility Models of the Short-Term Interest Rate', Journal of Econometrics, 77 (2), April, 343-77 24. Eric Jacquier, Nicholas G. Polson and Peter E. Rossi (1994), `Bayesian Analysis of Stochastic Volatility Models', Journal of Business and Economic Statistics, 12 (4), October, 371-89 25. Nour Meddahi and Eric Renault (2004), `Temporal Aggregation of Volatility Models', Journal of Econometrics: Dynamic Factor Models, 119 (2), April, 355-79 26. Fabienne Comte and Eric Renault (1998), `Long Memory in Continuous-Time Stochastic Volatility Models', Mathematical Finance, 8 (4), October, 291-323 27. Laurent Calvet and Adlai Fisher (2002), `Multifractality in Asset Returns: Theory and Evidence', Review of Economics and Statistics, LXXXIV (3), August, 381-406 PART IV MULTIVARIATE VOLATILITY MODELS 28. Tim Bollerslev, Robert F. Engle and Jeffrey M. Wooldridge (1988), `A Capital Asset Pricing Model with Time-varying Covariances', Journal of Political Economy, 96 (1), February, 116-31 29. Robert F. Engle and Kenneth F. Kroner (1995), `Multivariate Simultaneous Generalized ARCH', Econometric Theory, 11 (1), February, 122-50 30. Francis X. Diebold and Marc Nerlove (1989), `The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model', Journal of Applied Econometrics, 4 (1), January-March, 1-21 31. Tim Bollerslev (1990), `Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model', Review of Economics and Statistics, 72 (3), August, 498-505 32. Andrew Harvey, Esther Ruiz and Neil Shephard (1994), `Multivariate Stochastic Variance Models', Review of Economic Studies, 61 (2), April, 247-64 33. Robert Engle (2002), `Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models', Journal of Business and Economic Statistics, 20 (3), July, 339-50 34. Andrew J. Patton (2006), `Modelling Asymmetric Exchange Rate Dependence', International Economic Review, 47 (2), May, 527-56 Volume II Contents Acknowledgements Introduction An introduction to both volumes by the editors appears in Volume I PART I OPTIONS AND VOLATILITY 1. Henry A. Latane and Richard J. Rendleman, Jr. (1976), `Standard Deviations of Stock Price Ratios Implied in Option Prices', Journal of Finance, XXXI (2), May, 369-81, Correction 2. John Hull and Alan White (1987), `The Pricing of Options on Assets with Stochastic Volatilities', Journal of Finance, XLII (2), June, 281-300 3. Steven L. Heston (1993), `A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Review of Financial Studies, 6 (2), April, 327-43 4. Jin-Chuan Duan (1995), `The GARCH Option Pricing Model', Mathematical Finance, 5 (1), January, 13-32 5. David S. Bates (1996), `Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options', Review of Financial Studies, 9 (1), January, 69-107 6. Bjorn Eraker, Michael Johannes and Nicholas Polson (2003), `The Impact of Jumps in Volatility and Returns', Journal of Finance, LVIII (3), June, 1269-300 7. Mark Britten-Jones and Anthony Neuberger (2000), `Option Prices, Implied Price Processes, and Stochastic Volatility', Journal of Finance, LV (2), April, 839-66 8. Peter Carr and Liuren Wu (2009), `Variance Risk Premiums', Review of Financial Studies, 22 (3), March, 1311-41 9. Tim Bollerslev, George Tauchen and Hao Zhou (2009), `Expected Stock Returns and Variance Risk Premia', Review of Financial Studies, 22 (11), November, 4463-92 PART II VOLATILITY FORECASTING AND EVALUATION 10. Daniel B. Nelson (1992), `Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model', Journal of Econometrics, 52 (1-2), April-May, 61-90 11. Dean P. Foster and Dan B. Nelson (1996), `Continuous Record Asymptotics for Rolling Sample Variance Estimators ', Econometrica, 64 (1), January, 139-74 12. Torben G. Andersen and Tim Bollerslev (1997), `Intraday Periodicity and Volatility Persistence in Financial Markets', Journal of Empirical Finance: High Frequency Data, Part 1, 4 (2-3), June, 115-58 13. Torben G. Andersen and Tim Bollerslev (1998), `Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts', International Economic Review: Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance, 39 (4), November, 885-905 14. Torben G. Andersen, Tim Bollerslev and Nour Meddahi (2004), `Analytical Evaluation of Volatility Forecasts,' International Economic Review, 45 (4), November, 1079-110 15. Andrew J. Patton (2011), `Volatility Forecast Comparison Using Imperfect Volatility Proxies', Journal of Econometrics: Realized Volatility, 160 (1), January, 246-56 16. Jeff Fleming, Chris Kirby and Barbara Ostdiek (2003), `The Economic Value of Volatility Timing Using "Realized" Volatility', Journal of Financial Economics, 67 (3), March, 473-509 PART III HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES 17. Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys (2001), `The Distribution of Realized Exchange Rate Volatility', Journal of the American Statistical Association, 96 (453), March, 42-55, Correction 18. Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys (2003), `Modeling and Forecasting Realized Volatility', Econometrica, 71 (2), March, 579-625 19. Fulvio Corsi (2009), `A Simple Approximate Long-Memory Model of Realized Volatility', Journal of Financial Econometrics, 7 (2), Spring, 174-96 20. Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov (2006), `Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies', Journal of Econometrics, 131 (1-2), March-April, 59-95 21. Torben G. 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