1 In the quotes from sources in these studies, we omit the usual practice of identifying the reference and page number. The study where the quote is obtained will be clear.
2 The results of this study are reported in Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas, “Trends in Quantitative Asset Management in Europe,” Journal of Portfolio Management 31, no. 4 (2004): 125–132 (Special European Section).
3 This statement is not strictly true. With the availability of high-frequency data, there is a new strain of financial econometrics that considers volatility as an observable realized volatility.
4 For a discussion of the different families of financial models and modeling issues, see Sergio M. Focardi and Frank J. Fabozzi, The Mathematics of Financial Modeling and Investment Management (Hoboken, NJ: John Wiley & Sons, 2004).
5 François Longin,“Stock Market Crashes: Some Quantitative Results Based on Extreme Value Theory.” Derivatives Use, Trading ...