Empirical Studies on Volatility in International Stock Markets (Hardcover, 2003 ed.)

Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models is one of the latest developments in this area. Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.
The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Series:	Dynamic Modeling and Econometrics in Economics and Finance, 6
Release date:	July 2003
First published:	July 2003
Authors:	Eugenie M.J.H. Hol
Dimensions:	235 x 155 x 11mm (L x W x T)
Format:	Hardcover
Pages:	161
Edition:	2003 ed.
ISBN-13:	978-1-4020-7519-3
Categories:	Books > Business & Economics > Economics > Econometrics > General Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General Promotions
LSN:	1-4020-7519-7
Barcode:	9781402075193

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