Robert Engle’s FT Lectures on Volatility

I am still not sure why Brenda Jubin’s Reading the Markets, remains criminally undiscovered, but for those who do not make visiting that blog a daily habit, I feel it my duty to draw attention to some of the excellent work she has been doing lately.

As far as I can tell, Brenda spends part of her free time reading every book ever written about investing and various tangential subjects. Even if this is only a slight exaggeration, her comprehensive review of the investment literature forms a sort of contemporaneous intellectual history of the markets – and for this reason makes it onto my daily reading list.

From time to time, the narrative at Reading the Markets veers in the direction of options and volatility. A particularly valuable contribution has been Brenda’s posting of her notes and graphics on a five-part lecture series given by Robert Engle in July 2007. One post is devoted to each lecture, with the links to her posts below:

Reading the Markets – Notes and Graphics:

• Part 1: Volatility
• Part 2: Time Varying Volatility
• Part 3: Estimating Risk
• Part 4: Long Run Risk
• Part 5: Global Financial Volatility

Part of the motivation for posting the notes and the graphics is that while the FT Business School – NYU Stern School of Business splash page has captured the links to transcripts of each of the five addresses, the video links on that page are not functional.

With a little sleuthing, however, I was able to find the video links to each of the five lectures and below I have captured the video and transcript in what I hope is a more useful format:

FT Business School – NYU Stern School (original content):

• Part 1: Volatility (video, transcript)
• Part 2: Time Varying Volatility (video, transcript)
• Part 3: Estimating Risk (video, transcript)
• Part 4: Long Run Risk (video, transcript)
• Part 5: Global Financial Volatility (video, transcript)

For anyone seeking the key takeaways from this series, I would jump right to Brenda’s comments and graphics. For all the details, the FT-Stern content above is the place to go.

Also worth checking out is the NYU Stern Volatility Institute and its Volatility Laboratory.

Related posts:

• Robert Engle’s Volatility Laboratory
• What Is Historical Volatility?
• What Is High Implied Volatility?
• Thinking About Volatility (First in a Series)
• Ten Things Everyone Should Know About the VIX

Disclosure(s): none