0
Your cart

Your cart is empty

Books > Business & Economics > Economics > Econometrics

Buy Now

Modelling Stock Market Volatility - Bridging the Gap to Continuous Time (Hardcover) Loot Price: R4,713
Discovery Miles 47 130
Modelling Stock Market Volatility - Bridging the Gap to Continuous Time (Hardcover): Peter H. Rossi

Modelling Stock Market Volatility - Bridging the Gap to Continuous Time (Hardcover)

Peter H. Rossi

 (sign in to rate)
Loot Price R4,713 Discovery Miles 47 130 | Repayment Terms: R442 pm x 12*

Bookmark and Share

Expected to ship within 10 - 15 working days

This essay collection focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications. For the first time, Modelling Stock Market Volatility provides new insights about the links between these two models and new work on practical estimation methods for continuous time models. Featuring the pioneering scholarship of Daniel Nelson, the text presents research about the discrete time model, continuous time limits and optimal filtering of ARCH models, and the specification and estimation of continuous time processes. This work will lead to a rapid growth in their empirical application as they are increasingly subjected to routine specification testing.
Key Features
* Provides for the first time new insights on the links between continuous time and ARCH models
* Collects seminal scholarship by some of the most renowned researchers in finance and econometrics
* Captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics

General

Imprint: Academic Press Inc
Country of origin: United States
Release date: November 1996
First published: November 1996
Editors: Peter H. Rossi
Dimensions: 229 x 152 x 38mm (L x W x T)
Format: Hardcover
Pages: 485
ISBN-13: 978-0-12-598275-7
Categories: Books > Business & Economics > Economics > Econometrics > General
Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General
Books > Money & Finance > Investment & securities > General
Books > Academic & Education > Professional & Technical > Finance
Promotions
LSN: 0-12-598275-5
Barcode: 9780125982757

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!

You might also like..

The South African Informal Sector…
Frederick Fourie Paperback R116 R108 Discovery Miles 1 080
Essential Mathematics for Economics and…
T. Bradley Paperback R1,786 Discovery Miles 17 860
Basic mathematics for economics students…
Derek Yu Paperback R383 Discovery Miles 3 830
Introductory Econometrics - A Modern…
Jeffrey Wooldridge Hardcover R1,396 R1,300 Discovery Miles 13 000
Operations and Supply Chain Management
James Evans, David Collier Hardcover R1,427 R1,327 Discovery Miles 13 270
Operations And Supply Chain Management
David Collier, James Evans Hardcover R1,451 R1,347 Discovery Miles 13 470
E.Europe Russia & C Asia 2001
Europa Publications Hardcover R10,905 Discovery Miles 109 050
Statistics for Business and Economics…
Paul Newbold, William Carlson, … Paperback R2,629 Discovery Miles 26 290
Panel Data Econometrics
Manuel Arellano Hardcover R4,844 Discovery Miles 48 440
Tax Policy and Uncertainty - Modelling…
Christopher Ball, John Creedy, … Hardcover R2,846 Discovery Miles 28 460
Advanced Introduction to Spatial…
Daniel A. Griffith, Bin Li Paperback R698 Discovery Miles 6 980
Basic mathematics for economics students…
D. Yu Paperback R383 Discovery Miles 3 830

See more

Partners