Econometric Modelling of Stock Market Intraday Activity:
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal wo...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer US
2001
|
| Ausgabe: | 1st ed. 2001 |
| Schriftenreihe: | Advanced Studies in Theoretical and Applied Econometrics
38 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled |
| Beschreibung: | 1 Online-Ressource (XV, 180 p) |
| ISBN: | 9781475733815 |
| DOI: | 10.1007/978-1-4757-3381-5 |
Internformat
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| 520 | |a Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled | ||
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Datensatz im Suchindex
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| author | Bauwens, Luc Giot, Pierre |
| author_facet | Bauwens, Luc Giot, Pierre |
| author_role | aut aut |
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| dewey-ones | 330 - Economics |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-1-4757-3381-5 |
| edition | 1st ed. 2001 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:15:37Z |
| indexdate | 2024-07-10T08:56:10Z |
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| spelling | Bauwens, Luc Verfasser aut Econometric Modelling of Stock Market Intraday Activity by Luc Bauwens, Pierre Giot 1st ed. 2001 New York, NY Springer US 2001 1 Online-Ressource (XV, 180 p) txt rdacontent c rdamedia cr rdacarrier Advanced Studies in Theoretical and Applied Econometrics 38 Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled Econometrics International Economics Economic Theory/Quantitative Economics/Mathematical Methods Finance, general International economics Economic theory Finance Börse (DE-588)4007502-3 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Tageswert (DE-588)4184355-1 gnd rswk-swf Börse (DE-588)4007502-3 s Preisbildung (DE-588)4047103-2 s Tageswert (DE-588)4184355-1 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Giot, Pierre aut Erscheint auch als Druck-Ausgabe 9781441949066 Erscheint auch als Druck-Ausgabe 9780792374244 Erscheint auch als Druck-Ausgabe 9781475733822 https://doi.org/10.1007/978-1-4757-3381-5 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Bauwens, Luc Giot, Pierre Econometric Modelling of Stock Market Intraday Activity Econometrics International Economics Economic Theory/Quantitative Economics/Mathematical Methods Finance, general International economics Economic theory Finance Börse (DE-588)4007502-3 gnd Preisbildung (DE-588)4047103-2 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Tageswert (DE-588)4184355-1 gnd |
| subject_GND | (DE-588)4007502-3 (DE-588)4047103-2 (DE-588)4043212-9 (DE-588)4184355-1 |
| title | Econometric Modelling of Stock Market Intraday Activity |
| title_auth | Econometric Modelling of Stock Market Intraday Activity |
| title_exact_search | Econometric Modelling of Stock Market Intraday Activity |
| title_exact_search_txtP | Econometric Modelling of Stock Market Intraday Activity |
| title_full | Econometric Modelling of Stock Market Intraday Activity by Luc Bauwens, Pierre Giot |
| title_fullStr | Econometric Modelling of Stock Market Intraday Activity by Luc Bauwens, Pierre Giot |
| title_full_unstemmed | Econometric Modelling of Stock Market Intraday Activity by Luc Bauwens, Pierre Giot |
| title_short | Econometric Modelling of Stock Market Intraday Activity |
| title_sort | econometric modelling of stock market intraday activity |
| topic | Econometrics International Economics Economic Theory/Quantitative Economics/Mathematical Methods Finance, general International economics Economic theory Finance Börse (DE-588)4007502-3 gnd Preisbildung (DE-588)4047103-2 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd Tageswert (DE-588)4184355-1 gnd |
| topic_facet | Econometrics International Economics Economic Theory/Quantitative Economics/Mathematical Methods Finance, general International economics Economic theory Finance Börse Preisbildung Ökonometrisches Modell Tageswert |
| url | https://doi.org/10.1007/978-1-4757-3381-5 |
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