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Empirical Studies on Volatility in International Stock Markets (Paperback, Softcover reprint of hardcover 1st ed. 2003) Loot Price: R2,827
Discovery Miles 28 270
Empirical Studies on Volatility in International Stock Markets (Paperback, Softcover reprint of hardcover 1st ed. 2003):...

Empirical Studies on Volatility in International Stock Markets (Paperback, Softcover reprint of hardcover 1st ed. 2003)

Eugenie M.J.H. Hol

Series: Dynamic Modeling and Econometrics in Economics and Finance, 6

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Loot Price R2,827 Discovery Miles 28 270 | Repayment Terms: R265 pm x 12*

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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: November 2010
First published: 2003
Authors: Eugenie M.J.H. Hol
Dimensions: 235 x 155 x 9mm (L x W x T)
Format: Paperback
Pages: 161
Edition: Softcover reprint of hardcover 1st ed. 2003
ISBN-13: 978-1-4419-5375-9
Categories: Books > Business & Economics > Economics > Econometrics > General
Books > Business & Economics > Economics > International economics > General
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LSN: 1-4419-5375-2
Barcode: 9781441953759

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