Stochastic Volatility in Financial Markets - Crossing the Bridge to Continuous Time (Paperback, Softcover reprint of the original 1st ed. 2000)

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-Verlag New York
Country of origin:	United States
Series:	Dynamic Modeling and Econometrics in Economics and Finance, 3
Release date:	March 2013
First published:	2000
Authors:	Antonio Mele • Fabio Fornari
Dimensions:	235 x 155 x 8mm (L x W x T)
Format:	Paperback
Pages:	147
Edition:	Softcover reprint of the original 1st ed. 2000
ISBN-13:	978-1-4613-7045-1
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Business & Economics > Economics > Econometrics > General Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General
LSN:	1-4613-7045-0
Barcode:	9781461370451

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