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Journal of Financial Econometrics Vol. 2, No. 2, pp. 343-348
© 2004 Oxford University Press; all rights reserved.

Practitioners' Corner

Adam Canopius
a.canopius@cirano.qc.ca

The first 150 words of the full text of this article appear below.

The analysis of volatility remains a preoccupation. In our very first issue, "Practitioners' Corner" offered a brief retrospective on volatility modeling, surveying several strategies in the history of volatility modeling and locating the contributions of the first issue within these broad themes. Of course, not all the highlights of this voluminous literature could be visited or all noteworthy references cited. Nonetheless, we should have referred to the venerable literature on mixture models introduced by the polymath Simon Newcomb in the late 19th century and subsequently studied by Karl Pearson. A neglected reminder was certainly supplied by Lanne and Saikkonen (2003), who in this same first issue of JFEC offered the wry understatement that the conditional heteroskedasticity inherent in mixture autoregressive models may not adequately capture the time-series properties of financial data. The point is made again in the contribution to this issue by Markus Haas, Stefan Mittnik, and Marc . . . [Full Text of this Article]


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