Holdings: Modelling stock market volatility

Modelling stock market volatility: bridging the gap to continuous time

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Bibliographic Details
Format:	Book
Language:	English
Published:	San Diego [u.a.] Acad. Press 1996
Subjects:	Actions (Titres de société) - Prix - Modèles mathématiques Effectenbeurzen Wiskundige modellen Mathematisches Modell Stocks > Prices > Mathematical models Aktienmarkt Volatilität Aktienkurs USA Aufsatzsammlung
Online Access:	Publisher description Table of contents Inhaltsverzeichnis
Physical Description:	XVIII, 485 S. graph. Darst.
ISBN:	0125982755

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MARC


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Record in the Search Index

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adam_text	CONTENTS CONTRIBUTORS ix INTRODUCTION xi I UNDERSTANDING AND SPECIFYING THE DISCRETE TIME MODEL 1. Modelling Stock Market Volatility Changes 3 DANIEL B. NELSON 2. Stationarity and Persistence in the GARCH(I,I) Model 17 DANIEL B. NELSON 3. Conditional Heteroskedasticity in Asset Returns: A New Approach 37 DANIEL B. NELSON V CONTENTS 4. Good News, Bad News, Volatility, and Betas 65 PHILLIP A. BRAUN, DANIEL B. NELSON, AND ALAIN M. SUNIER II CONTINUOUS TIME LIMITS AND OPTIMAL FILTERING FOR ARCH MODELS 5. ARCH Models as Diffusion Approximations 99 DANIEL B. NELSON 6. Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model 129 DANIEL B. NELSON 7. Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model 157 DANIEL B. NELSON AND DEAN P. FOSTER 8. Asymptotic Filtering Theory for Univariate ARCH Models 193 DANIEL B. NELSON AND DEAN P. FOSTER 9. Asymptotic Filtering Theory for Multivariate ARCH Models 241 DANIEL B. NELSON 10. Continuous Record Asymptotics for Rolling Sample Variance Estimators 291 DEAN P. FOSTER AND DANIEL B. NELSON III SPECIFICATION AND ESTIMATION OF CONTINUOUS TIME PROCESSES 11. Estimating Diffusion Models of Stochastic Volatility 333 ROBERT F. ENGLE AND GARY G. J. LEE 12. Specification Analysis of Continuous Time Models in Finance 357 A. RONALD GALLANT AND GEORGE TAUCHEN CONTENTS Vii 13. Back to the Future: Generating Moment Implications for Continuous Time Markov Processes 385 LARS PETER HANSEN AND JOSE ALEXANDRE SCHEINKMAN 14. Nonparametric Pricing of Interest Rate Derivative Securities 427 YACINE AIT SAHALIA INDEX 467
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spelling	Modelling stock market volatility bridging the gap to continuous time ed. by Peter E. Rossi San Diego [u.a.] Acad. Press 1996 XVIII, 485 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Actions (Titres de société) - Prix - Modèles mathématiques Effectenbeurzen gtt Wiskundige modellen gtt Mathematisches Modell Stocks -- Prices -- Mathematical models Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Aktienkurs (DE-588)4141736-7 s Mathematisches Modell (DE-588)4114528-8 s DE-604 USA (DE-588)4078704-7 g Aktienmarkt (DE-588)4130931-5 s Volatilität (DE-588)4268390-7 s DE-188 Rossi, Peter E. Sonstige oth http://www.loc.gov/catdir/description/els032/96026267.html Publisher description http://www.loc.gov/catdir/toc/els032/96026267.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007534148&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Modelling stock market volatility bridging the gap to continuous time Actions (Titres de société) - Prix - Modèles mathématiques Effectenbeurzen gtt Wiskundige modellen gtt Mathematisches Modell Stocks -- Prices -- Mathematical models Aktienmarkt (DE-588)4130931-5 gnd Volatilität (DE-588)4268390-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Aktienkurs (DE-588)4141736-7 gnd
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title	Modelling stock market volatility bridging the gap to continuous time
title_auth	Modelling stock market volatility bridging the gap to continuous time
title_exact_search	Modelling stock market volatility bridging the gap to continuous time
title_full	Modelling stock market volatility bridging the gap to continuous time ed. by Peter E. Rossi
title_fullStr	Modelling stock market volatility bridging the gap to continuous time ed. by Peter E. Rossi
title_full_unstemmed	Modelling stock market volatility bridging the gap to continuous time ed. by Peter E. Rossi
title_short	Modelling stock market volatility
title_sort	modelling stock market volatility bridging the gap to continuous time
title_sub	bridging the gap to continuous time
topic	Actions (Titres de société) - Prix - Modèles mathématiques Effectenbeurzen gtt Wiskundige modellen gtt Mathematisches Modell Stocks -- Prices -- Mathematical models Aktienmarkt (DE-588)4130931-5 gnd Volatilität (DE-588)4268390-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd Aktienkurs (DE-588)4141736-7 gnd
topic_facet	Actions (Titres de société) - Prix - Modèles mathématiques Effectenbeurzen Wiskundige modellen Mathematisches Modell Stocks -- Prices -- Mathematical models Aktienmarkt Volatilität Aktienkurs USA Aufsatzsammlung
url	http://www.loc.gov/catdir/description/els032/96026267.html http://www.loc.gov/catdir/toc/els032/96026267.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007534148&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
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