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Modelling Stock Market Volatility - Bridging the Gap to Continuous Time (Hardcover) Loot Price: R4,109
Discovery Miles 41 090
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

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Loot Price R4,109 Discovery Miles 41 090 | Repayment Terms: R385 pm x 12*

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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
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LSN: 0-12-598275-5
Barcode: 9780125982757

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