Modelling stock market volatility: bridging the gap to continuous time
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
San Diego
Academic Press
©1996
|
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | 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 Includes bibliographical references and index Modelling Stock Market Volatility Changes -- Stationarity and Persistence in the GARCH(I, I) Model -- Conditional Heteroskedasticity in Asset Returns: A New Approach -- Good News, Bad News, Volatility, and Betas -- ARCH Models as Diffusion Approximations -- Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model -- Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model -- Asymptotic Filtering Theory for Univariate ARCH Models -- Asymptotic Filtering Theory for Multivariate ARCH Models -- Continuous Record Asymptotics for Rolling Sample Variance Estimators -- Estimating Diffusion Models of Stochastic Volatility -- Specification Analysis of Continuous Time Models in Finance -- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes -- Nonparametric Pricing of Interest Rate Derivative Securities -- Index |
| Beschreibung: | 1 Online-Ressource (xviii, 485 pages) |
| ISBN: | 0080511872 0125982755 9780080511870 9780125982757 |
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| spelling | Modelling stock market volatility bridging the gap to continuous time edited by Peter E. Rossi San Diego Academic Press ©1996 1 Online-Ressource (xviii, 485 pages) txt rdacontent c rdamedia cr rdacarrier 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 Includes bibliographical references and index Modelling Stock Market Volatility Changes -- Stationarity and Persistence in the GARCH(I, I) Model -- Conditional Heteroskedasticity in Asset Returns: A New Approach -- Good News, Bad News, Volatility, and Betas -- ARCH Models as Diffusion Approximations -- Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model -- Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model -- Asymptotic Filtering Theory for Univariate ARCH Models -- Asymptotic Filtering Theory for Multivariate ARCH Models -- Continuous Record Asymptotics for Rolling Sample Variance Estimators -- Estimating Diffusion Models of Stochastic Volatility -- Specification Analysis of Continuous Time Models in Finance -- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes -- Nonparametric Pricing of Interest Rate Derivative Securities -- Index Actions (Titres de société) / Prix / Modèles mathématiques BUSINESS & ECONOMICS / Investments & Securities / Stocks bisacsh Effectenbeurzen gtt Wiskundige modellen gtt Stocks / Prices / Mathematical models fast Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Aktienkurs (DE-588)4141736-7 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content USA (DE-588)4078704-7 g Aktienmarkt (DE-588)4130931-5 s Volatilität (DE-588)4268390-7 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Aktienkurs (DE-588)4141736-7 s 3\p DE-604 Rossi, Peter E. Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=297148 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Modelling stock market volatility bridging the gap to continuous time Actions (Titres de société) / Prix / Modèles mathématiques BUSINESS & ECONOMICS / Investments & Securities / Stocks bisacsh Effectenbeurzen gtt Wiskundige modellen gtt Stocks / Prices / Mathematical models fast Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Aktienkurs (DE-588)4141736-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 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 edited by Peter E. Rossi |
| title_fullStr | Modelling stock market volatility bridging the gap to continuous time edited by Peter E. Rossi |
| title_full_unstemmed | Modelling stock market volatility bridging the gap to continuous time edited 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 BUSINESS & ECONOMICS / Investments & Securities / Stocks bisacsh Effectenbeurzen gtt Wiskundige modellen gtt Stocks / Prices / Mathematical models fast Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Aktienkurs (DE-588)4141736-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Actions (Titres de société) / Prix / Modèles mathématiques BUSINESS & ECONOMICS / Investments & Securities / Stocks Effectenbeurzen Wiskundige modellen Stocks / Prices / Mathematical models Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Aktienkurs Aktienmarkt Volatilität USA Aufsatzsammlung |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=297148 |
| work_keys_str_mv | AT rossipetere modellingstockmarketvolatilitybridgingthegaptocontinuoustime |