0
Your cart

Your cart is empty

Books > Business & Economics > Economics > Econometrics

Buy Now

Stochastic Volatility in Financial Markets - Crossing the Bridge to Continuous Time (Hardcover, 2000 ed.) Loot Price: R2,954
Discovery Miles 29 540
Stochastic Volatility in Financial Markets - Crossing the Bridge to Continuous Time (Hardcover, 2000 ed.): Antonio Mele, Fabio...

Stochastic Volatility in Financial Markets - Crossing the Bridge to Continuous Time (Hardcover, 2000 ed.)

Antonio Mele, Fabio Fornari

Series: Dynamic Modeling and Econometrics in Economics and Finance, 3

 (sign in to rate)
Loot Price R2,954 Discovery Miles 29 540 | Repayment Terms: R277 pm x 12*

Bookmark and Share

Expected to ship within 10 - 15 working days

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.

General

Imprint: Springer
Country of origin: Netherlands
Series: Dynamic Modeling and Econometrics in Economics and Finance, 3
Release date: May 2000
First published: 2000
Authors: Antonio Mele • Fabio Fornari
Dimensions: 235 x 155 x 11mm (L x W x T)
Format: Hardcover
Pages: 147
Edition: 2000 ed.
ISBN-13: 978-0-7923-7842-6
Categories: Books > Business & Economics > Economics > Econometrics > General
Promotions
LSN: 0-7923-7842-3
Barcode: 9780792378426

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!

Partners