Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: 3 (Dynamic Modeling and Econometrics in Economics and Finance) - Tapa dura

Mele, Antonio; Fornari, Fabio

 
9780792378426: Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: 3 (Dynamic Modeling and Econometrics in Economics and Finance)
Tapa dura
ISBN 10: 0792378423 ISBN 13: 9780792378426
Editorial: Springer, 2000

Sinopsis

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility’, or `conditional heteroskedasticity’, has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

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Reseña del editor

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

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Editorial
Springer
Año de publicación
2000
Idioma
Inglés
ISBN 10 
0792378423
ISBN 13 
9780792378426
Encuadernación
Tapa dura
Número de páginas
168
Contacto del fabricante
no disponible
Persona responsable
CMN Printpool Inh. Mathis Neumann
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Hamburg
Alemania

Otras ediciones populares con el mismo título

9781461370451: Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time: 3 (Dynamic Modeling and Econometrics in Economics and Finance)

Edición Destacada

ISBN 10:  1461370450 ISBN 13:  9781461370451
Editorial: Springer, 2012
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