Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of finan...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer US
2000
|
| Ausgabe: | 1st ed. 2000 |
| Schriftenreihe: | Dynamic Modeling and Econometrics in Economics and Finance
3 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed 'stochastic volatility', or 'conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint |
| Beschreibung: | 1 Online-Ressource (XV, 147 p) |
| ISBN: | 9781461545330 |
| DOI: | 10.1007/978-1-4615-4533-0 |
Internformat
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| author | Mele, Antonio Fornari, Fabio |
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| doi_str_mv | 10.1007/978-1-4615-4533-0 |
| edition | 1st ed. 2000 |
| format | Electronic eBook |
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| spelling | Mele, Antonio Verfasser aut Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time by Antonio Mele, Fabio Fornari 1st ed. 2000 New York, NY Springer US 2000 1 Online-Ressource (XV, 147 p) txt rdacontent c rdamedia cr rdacarrier Dynamic Modeling and Econometrics in Economics and Finance 3 Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed 'stochastic volatility', or 'conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint Econometrics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 s Volatilität (DE-588)4268390-7 s Ökonometrisches Modell (DE-588)4043212-9 s Stochastische Analysis (DE-588)4132272-1 s DE-604 Fornari, Fabio aut Erscheint auch als Druck-Ausgabe 9780792378426 Erscheint auch als Druck-Ausgabe 9781461370451 Erscheint auch als Druck-Ausgabe 9781461545347 https://doi.org/10.1007/978-1-4615-4533-0 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Mele, Antonio Fornari, Fabio Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time Econometrics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Kapitalmarkt (DE-588)4029578-3 gnd Volatilität (DE-588)4268390-7 gnd Stochastische Analysis (DE-588)4132272-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4268390-7 (DE-588)4132272-1 (DE-588)4043212-9 |
| title | Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time |
| title_auth | Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time |
| title_exact_search | Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time |
| title_exact_search_txtP | Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time |
| title_full | Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time by Antonio Mele, Fabio Fornari |
| title_fullStr | Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time by Antonio Mele, Fabio Fornari |
| title_full_unstemmed | Stochastic Volatility in Financial Markets Crossing the Bridge to Continuous Time by Antonio Mele, Fabio Fornari |
| title_short | Stochastic Volatility in Financial Markets |
| title_sort | stochastic volatility in financial markets crossing the bridge to continuous time |
| title_sub | Crossing the Bridge to Continuous Time |
| topic | Econometrics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Kapitalmarkt (DE-588)4029578-3 gnd Volatilität (DE-588)4268390-7 gnd Stochastische Analysis (DE-588)4132272-1 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Econometrics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Finance Economic theory Kapitalmarkt Volatilität Stochastische Analysis Ökonometrisches Modell |
| url | https://doi.org/10.1007/978-1-4615-4533-0 |
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