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The trade–off between return and risk plays the important role in many financial models such as Portfolio theory and option pricing. So, economic theories in time series usually have implications on the conditional mean dynamics of underlying economic variables as well as on the volatility as the measure of risk.

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Heteroscedastic Time Series

  • 工具书词条

  • 发表日期：

    2025年

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  • Biljana Č. Popović

摘要

The trade–off between return and risk plays the important role in many financial models such as Portfolio theory and option pricing. So, economic theories in time series usually have implications on the conditional mean dynamics of underlying economic variables as well as on the volatility as the measure of risk.