Modelling stock market volatility :: bridging the gap to continuous time /
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 pract...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
San Diego :
Academic Press,
©1996.
|
| Schlagworte: | |
| Online-Zugang: | Volltext Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xviii, 485 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9780125982757 0125982755 9780080511870 0080511872 |
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| 520 | |a 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. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a 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. | |
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| 776 | 0 | 8 | |i Print version: |t Modelling stock market volatility. |d San Diego : Academic Press, ©1996 |z 9780125982757 |w (DLC) 96026267 |w (OCoLC)34965866 |
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| author2 | Rossi, Peter E. (Peter Eric), 1955- |
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| contents | 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. |
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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 resource (xviii, 485 pages) : illustrations text txt rdacontent computer c rdamedia online resource 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. Print version record. Stocks Prices Mathematical models. Actions (Titres de société) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities Stocks. bisacsh Stocks Prices Mathematical models fast Effectenbeurzen. gtt Wiskundige modellen. gtt Rossi, Peter E. (Peter Eric), 1955- https://id.oclc.org/worldcat/entity/E39PBJhRH9P66R3BcXdPfch4MP http://id.loc.gov/authorities/names/n85822506 has work: Modelling stock market volatility (Text) https://id.oclc.org/worldcat/entity/E39PCGRMt3BPcw47xhF9VjdbBP https://id.oclc.org/worldcat/ontology/hasWork Print version: Modelling stock market volatility. San Diego : Academic Press, ©1996 9780125982757 (DLC) 96026267 (OCoLC)34965866 FWS01 ZDB-4-EBA FWS_PDA_EBA https://www.sciencedirect.com/science/book/9780125982757 Volltext FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297148 Volltext |
| spellingShingle | Modelling stock market volatility : bridging the gap to continuous time / 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. Stocks Prices Mathematical models. Actions (Titres de société) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities Stocks. bisacsh Stocks Prices Mathematical models fast Effectenbeurzen. gtt Wiskundige modellen. gtt |
| 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 | Stocks Prices Mathematical models. Actions (Titres de société) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities Stocks. bisacsh Stocks Prices Mathematical models fast Effectenbeurzen. gtt Wiskundige modellen. gtt |
| topic_facet | Stocks Prices Mathematical models. Actions (Titres de société) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities Stocks. Stocks Prices Mathematical models Effectenbeurzen. Wiskundige modellen. |
| url | https://www.sciencedirect.com/science/book/9780125982757 https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=297148 |
| work_keys_str_mv | AT rossipetere modellingstockmarketvolatilitybridgingthegaptocontinuoustime |