Verfügbarkeit: Stochastic volatility :

Stochastic volatility :: selected readings /

Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Weitere Verfasser:	Shephard, Neil
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Oxford ; New York : Oxford University Press, 2005.
Schriftenreihe:	Advanced texts in econometrics.
Schlagworte:	Stochastic processes. Finance > Mathematical models. Money market > Mathematical models. Capital market > Mathematical models. Stochastic Processes Finances > Modèles mathématiques. Processus stochastiques. Marché monétaire > Modèles mathématiques. Marché financier > Modèles mathématiques. MATHEMATICS > Probability & Statistics > Stochastic Processes. Capital market > Mathematical models Finance > Mathematical models Money market > Mathematical models Stochastic processes Stochastische modellen. Beweeglijkheid. Econometrische analyse. Portfolio-theorie.
Online-Zugang:	DE-862 DE-863 DE-862 DE-863
Zusammenfassung:	Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P.
Beschreibung:	1 online resource (viii, 525 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliographie:	Includes bibliographical references and indexes.
ISBN:	9781429469364 1429469366 9780191531422 0191531421 1280845767 9781280845765

Internformat

MARC


LEADER	00000cam a2200000 a 4500
001	ZDB-4-EBU-ocn132690934
003	OCoLC
005	20241004212047.0
006	m o d
007	cr cnu---unuuu
008	070521s2005 enka ob 001 0 eng d
040			\|a N$T \|b eng \|e pn \|c N$T \|d OCLCQ \|d CN8ML \|d COCUF \|d OCLCE \|d GBT \|d OCLCQ \|d MERUC \|d CCO \|d E7B \|d W2U \|d OCLCQ \|d FVL \|d OCLCQ \|d IDEBK \|d OCLCQ \|d OCLCF \|d OCLCQ \|d NLGGC \|d OCLCO \|d YDXCP \|d EBLCP \|d DKU \|d DEBSZ \|d OCLCO \|d OCLCQ \|d OCLCO \|d OCLCQ \|d AZK \|d LOA \|d AGLDB \|d N$T \|d PIFAG \|d PIFPO \|d ZCU \|d OTZ \|d OCLCQ \|d WY@ \|d U3W \|d LUE \|d STF \|d WRM \|d VTS \|d CEF \|d NRAMU \|d ICG \|d INT \|d VT2 \|d OCLCQ \|d AU@ \|d LHU \|d WYU \|d YOU \|d CANPU \|d TKN \|d N$T \|d OCLCQ \|d DKC \|d OCLCQ \|d CNTRU \|d MT4IT \|d UX1 \|d HS0 \|d UWK \|d ADU \|d OCLCQ \|d K6U \|d OCLCO \|d SFB \|d OCLCQ \|d OCLCO \|d OCLCQ \|d CNNOR \|d CNKUC \|d OCLCO \|d OCLCQ \|d ANO \|d OCLCQ \|d YDX \|d OCLCO \|d OCLCL \|d OCLCQ
019			\|a 154805281 \|a 314217163 \|a 427510859 \|a 437109491 \|a 455959919 \|a 476260646 \|a 560590339 \|a 570684776 \|a 613388477 \|a 630463984 \|a 646752651 \|a 722672258 \|a 728031843 \|a 728049115 \|a 961538129 \|a 962591268 \|a 966200263 \|a 971600383 \|a 971898764 \|a 974486408 \|a 974513837 \|a 991954989 \|a 991960098 \|a 992582319 \|a 994815252 \|a 1018028415 \|a 1035705204 \|a 1037939576 \|a 1038693982 \|a 1042144335 \|a 1042476004 \|a 1043486055 \|a 1044161909 \|a 1044250621 \|a 1044791928 \|a 1045466020 \|a 1047923678 \|a 1053520067 \|a 1055383258 \|a 1056308451 \|a 1056386952 \|a 1081297579 \|a 1096455158 \|a 1097283706 \|a 1099558491 \|a 1100527066 \|a 1101713732 \|a 1108975202 \|a 1110365414 \|a 1112811268 \|a 1119040514 \|a 1119140437 \|a 1121022332 \|a 1125452840 \|a 1136364885 \|a 1148106281 \|a 1157101824 \|a 1157929243 \|a 1162502915 \|a 1178726287 \|a 1183903094 \|a 1193007709 \|a 1194899415 \|a 1197545630 \|a 1228582653 \|a 1241869879 \|a 1249350363 \|a 1286908544 \|a 1296759128
020			\|a 9781429469364 \|q (electronic bk.)
020			\|a 1429469366 \|q (electronic bk.)
020			\|a 9780191531422 \|q (electronic bk.)
020			\|a 0191531421 \|q (electronic bk.)
020			\|a 1280845767
020			\|a 9781280845765
020			\|z 0199257205 \|q (Paper)
020			\|z 0199257191 \|q (Cloth)
020			\|z 9780199257195
020			\|z 9780199257201 \|q (pbk.)
020			\|z 9786610845767
020			\|z 661084576X
024	3		\|a 9780191531422
035			\|a (OCoLC)132690934 \|z (OCoLC)154805281 \|z (OCoLC)314217163 \|z (OCoLC)427510859 \|z (OCoLC)437109491 \|z (OCoLC)455959919 \|z (OCoLC)476260646 \|z (OCoLC)560590339 \|z (OCoLC)570684776 \|z (OCoLC)613388477 \|z (OCoLC)630463984 \|z (OCoLC)646752651 \|z (OCoLC)722672258 \|z (OCoLC)728031843 \|z (OCoLC)728049115 \|z (OCoLC)961538129 \|z (OCoLC)962591268 \|z (OCoLC)966200263 \|z (OCoLC)971600383 \|z (OCoLC)971898764 \|z (OCoLC)974486408 \|z (OCoLC)974513837 \|z (OCoLC)991954989 \|z (OCoLC)991960098 \|z (OCoLC)992582319 \|z (OCoLC)994815252 \|z (OCoLC)1018028415 \|z (OCoLC)1035705204 \|z (OCoLC)1037939576 \|z (OCoLC)1038693982 \|z (OCoLC)1042144335 \|z (OCoLC)1042476004 \|z (OCoLC)1043486055 \|z (OCoLC)1044161909 \|z (OCoLC)1044250621 \|z (OCoLC)1044791928 \|z (OCoLC)1045466020 \|z (OCoLC)1047923678 \|z (OCoLC)1053520067 \|z (OCoLC)1055383258 \|z (OCoLC)1056308451 \|z (OCoLC)1056386952 \|z (OCoLC)1081297579 \|z (OCoLC)1096455158 \|z (OCoLC)1097283706 \|z (OCoLC)1099558491 \|z (OCoLC)1100527066 \|z (OCoLC)1101713732 \|z (OCoLC)1108975202 \|z (OCoLC)1110365414 \|z (OCoLC)1112811268 \|z (OCoLC)1119040514 \|z (OCoLC)1119140437 \|z (OCoLC)1121022332 \|z (OCoLC)1125452840 \|z (OCoLC)1136364885 \|z (OCoLC)1148106281 \|z (OCoLC)1157101824 \|z (OCoLC)1157929243 \|z (OCoLC)1162502915 \|z (OCoLC)1178726287 \|z (OCoLC)1183903094 \|z (OCoLC)1193007709 \|z (OCoLC)1194899415 \|z (OCoLC)1197545630 \|z (OCoLC)1228582653 \|z (OCoLC)1241869879 \|z (OCoLC)1249350363 \|z (OCoLC)1286908544 \|z (OCoLC)1296759128
037			\|a 084576 \|b MIL
037			\|b CRKN/MyiLibrary \|c CostDepend \|f FormOnline \|g AccessRestricted \|n GovNo
042			\|a dlr
050		4	\|a QA274 \|b .S824 2005eb
055	1	3	\|a QA274 \|b .S824 2005eb
072		7	\|a MAT \|x 029040 \|2 bisacsh
082	7		\|a 519.2/3 \|2 22
084			\|a 85.03 \|2 bcl
084			\|a 85.33 \|2 bcl
049			\|a MAIN
245	0	0	\|a Stochastic volatility : \|b selected readings / \|c edited by Neil Shephard.
260			\|a Oxford ; \|a New York : \|b Oxford University Press, \|c 2005.
300			\|a 1 online resource (viii, 525 pages) : \|b illustrations
336			\|a text \|b txt \|2 rdacontent
337			\|a computer \|b c \|2 rdamedia
338			\|a online resource \|b cr \|2 rdacarrier
347			\|a data file
490	1		\|a Advanced texts in econometrics
504			\|a Includes bibliographical references and indexes.
505	0		\|a Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard.
588	0		\|a Print version record.
506			\|3 Use copy \|f Restrictions unspecified \|2 star \|5 MiAaHDL
533			\|a Electronic reproduction. \|b [Place of publication not identified] : \|c HathiTrust Digital Library, \|d 2010. \|5 MiAaHDL
538			\|a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. \|u http://purl.oclc.org/DLF/benchrepro0212 \|5 MiAaHDL
583	1		\|a digitized \|c 2010 \|h HathiTrust Digital Library \|l committed to preserve \|2 pda \|5 MiAaHDL
520			\|a Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P.
546			\|a English.
650		0	\|a Stochastic processes. \|0 http://id.loc.gov/authorities/subjects/sh85128181
650		0	\|a Finance \|x Mathematical models. \|0 http://id.loc.gov/authorities/subjects/sh85048260
650		0	\|a Money market \|x Mathematical models.
650		0	\|a Capital market \|x Mathematical models.
650		2	\|a Stochastic Processes \|0 https://id.nlm.nih.gov/mesh/D013269
650		6	\|a Finances \|x Modèles mathématiques.
650		6	\|a Processus stochastiques.
650		6	\|a Marché monétaire \|x Modèles mathématiques.
650		6	\|a Marché financier \|x Modèles mathématiques.
650		7	\|a MATHEMATICS \|x Probability & Statistics \|x Stochastic Processes. \|2 bisacsh
650		7	\|a Capital market \|x Mathematical models \|2 fast
650		7	\|a Finance \|x Mathematical models \|2 fast
650		7	\|a Money market \|x Mathematical models \|2 fast
650		7	\|a Stochastic processes \|2 fast
650	1	7	\|a Stochastische modellen. \|2 gtt
650	1	7	\|a Beweeglijkheid. \|2 gtt
650	1	7	\|a Econometrische analyse. \|2 gtt
650	1	7	\|a Portfolio-theorie. \|2 gtt
700	1		\|a Shephard, Neil. \|0 http://id.loc.gov/authorities/names/nr2001035765
776	0	8	\|i Print version: \|t Stochastic volatility. \|d Oxford ; New York : Oxford University Press, 2005 \|z 0199257191 \|z 9780199257195 \|w (DLC) 2005299546 \|w (OCoLC)59711776
830		0	\|a Advanced texts in econometrics. \|0 http://id.loc.gov/authorities/names/n91107308
966	4	0	\|l DE-862 \|p ZDB-4-EBU \|q FWS_PDA_EBU \|u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191268 \|3 Volltext
966	4	0	\|l DE-863 \|p ZDB-4-EBU \|q FWS_PDA_EBU \|u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191268 \|3 Volltext
966	4	0	\|l DE-862 \|p ZDB-4-EBU \|q FWS_PDA_EBU \|u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1204711 \|3 Volltext
966	4	0	\|l DE-863 \|p ZDB-4-EBU \|q FWS_PDA_EBU \|u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1204711 \|3 Volltext
938			\|a YBP Library Services \|b YANK \|n 20451573
938			\|a ProQuest Ebook Central \|b EBLB \|n EBL422944
938			\|a ebrary \|b EBRY \|n ebr10233598
938			\|a EBSCOhost \|b EBSC \|n 191268
938			\|a ProQuest MyiLibrary Digital eBook Collection \|b IDEB \|n 84576
938			\|a YBP Library Services \|b YANK \|n 2875232
938			\|a YBP Library Services \|b YANK \|n 2561992
994			\|a 92 \|b GEBAY
912			\|a ZDB-4-EBU
049			\|a DE-862
049			\|a DE-863

Datensatz im Suchindex

DE-BY-FWS_katkey	ZDB-4-EBU-ocn132690934
_version_	1826942408113258496
adam_text
any_adam_object
author2	Shephard, Neil
author2_role
author2_variant	n s ns
author_GND	http://id.loc.gov/authorities/names/nr2001035765
author_facet	Shephard, Neil
author_sort	Shephard, Neil
building	Verbundindex
bvnumber	localFWS
callnumber-first	Q - Science
callnumber-label	QA274
callnumber-raw	QA274 .S824 2005eb
callnumber-search	QA274 .S824 2005eb
callnumber-sort	QA 3274 S824 42005EB
callnumber-subject	QA - Mathematics
collection	ZDB-4-EBU
contents	Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard.
ctrlnum	(OCoLC)132690934
dewey-full	519.2/3
dewey-hundreds	500 - Natural sciences and mathematics
dewey-ones	519 - Probabilities and applied mathematics
dewey-raw	519.2/3
dewey-search	519.2/3
dewey-sort	3519.2 13
dewey-tens	510 - Mathematics
discipline	Mathematik
format	Electronic eBook
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>09411cam a2200985 a 4500</leader><controlfield tag="001">ZDB-4-EBU-ocn132690934</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20241004212047.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr cnu---unuuu</controlfield><controlfield tag="008">070521s2005 enka ob 001 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">N$T</subfield><subfield code="b">eng</subfield><subfield code="e">pn</subfield><subfield code="c">N$T</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">CN8ML</subfield><subfield code="d">COCUF</subfield><subfield code="d">OCLCE</subfield><subfield code="d">GBT</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">MERUC</subfield><subfield code="d">CCO</subfield><subfield code="d">E7B</subfield><subfield code="d">W2U</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">FVL</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">IDEBK</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCF</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">NLGGC</subfield><subfield code="d">OCLCO</subfield><subfield code="d">YDXCP</subfield><subfield code="d">EBLCP</subfield><subfield code="d">DKU</subfield><subfield code="d">DEBSZ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">AZK</subfield><subfield code="d">LOA</subfield><subfield code="d">AGLDB</subfield><subfield code="d">N$T</subfield><subfield code="d">PIFAG</subfield><subfield code="d">PIFPO</subfield><subfield code="d">ZCU</subfield><subfield code="d">OTZ</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">WY@</subfield><subfield code="d">U3W</subfield><subfield code="d">LUE</subfield><subfield code="d">STF</subfield><subfield code="d">WRM</subfield><subfield code="d">VTS</subfield><subfield code="d">CEF</subfield><subfield code="d">NRAMU</subfield><subfield code="d">ICG</subfield><subfield code="d">INT</subfield><subfield code="d">VT2</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">AU@</subfield><subfield code="d">LHU</subfield><subfield code="d">WYU</subfield><subfield code="d">YOU</subfield><subfield code="d">CANPU</subfield><subfield code="d">TKN</subfield><subfield code="d">N$T</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">DKC</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">CNTRU</subfield><subfield code="d">MT4IT</subfield><subfield code="d">UX1</subfield><subfield code="d">HS0</subfield><subfield code="d">UWK</subfield><subfield code="d">ADU</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">K6U</subfield><subfield code="d">OCLCO</subfield><subfield code="d">SFB</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">CNNOR</subfield><subfield code="d">CNKUC</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">ANO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">YDX</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCL</subfield><subfield code="d">OCLCQ</subfield></datafield><datafield tag="019" ind1=" " ind2=" "><subfield code="a">154805281</subfield><subfield code="a">314217163</subfield><subfield code="a">427510859</subfield><subfield code="a">437109491</subfield><subfield code="a">455959919</subfield><subfield code="a">476260646</subfield><subfield code="a">560590339</subfield><subfield code="a">570684776</subfield><subfield code="a">613388477</subfield><subfield code="a">630463984</subfield><subfield code="a">646752651</subfield><subfield code="a">722672258</subfield><subfield code="a">728031843</subfield><subfield code="a">728049115</subfield><subfield code="a">961538129</subfield><subfield code="a">962591268</subfield><subfield code="a">966200263</subfield><subfield code="a">971600383</subfield><subfield code="a">971898764</subfield><subfield code="a">974486408</subfield><subfield code="a">974513837</subfield><subfield code="a">991954989</subfield><subfield code="a">991960098</subfield><subfield code="a">992582319</subfield><subfield code="a">994815252</subfield><subfield code="a">1018028415</subfield><subfield code="a">1035705204</subfield><subfield code="a">1037939576</subfield><subfield code="a">1038693982</subfield><subfield code="a">1042144335</subfield><subfield code="a">1042476004</subfield><subfield code="a">1043486055</subfield><subfield code="a">1044161909</subfield><subfield code="a">1044250621</subfield><subfield code="a">1044791928</subfield><subfield code="a">1045466020</subfield><subfield code="a">1047923678</subfield><subfield code="a">1053520067</subfield><subfield code="a">1055383258</subfield><subfield code="a">1056308451</subfield><subfield code="a">1056386952</subfield><subfield code="a">1081297579</subfield><subfield code="a">1096455158</subfield><subfield code="a">1097283706</subfield><subfield code="a">1099558491</subfield><subfield code="a">1100527066</subfield><subfield code="a">1101713732</subfield><subfield code="a">1108975202</subfield><subfield code="a">1110365414</subfield><subfield code="a">1112811268</subfield><subfield code="a">1119040514</subfield><subfield code="a">1119140437</subfield><subfield code="a">1121022332</subfield><subfield code="a">1125452840</subfield><subfield code="a">1136364885</subfield><subfield code="a">1148106281</subfield><subfield code="a">1157101824</subfield><subfield code="a">1157929243</subfield><subfield code="a">1162502915</subfield><subfield code="a">1178726287</subfield><subfield code="a">1183903094</subfield><subfield code="a">1193007709</subfield><subfield code="a">1194899415</subfield><subfield code="a">1197545630</subfield><subfield code="a">1228582653</subfield><subfield code="a">1241869879</subfield><subfield code="a">1249350363</subfield><subfield code="a">1286908544</subfield><subfield code="a">1296759128</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781429469364</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1429469366</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780191531422</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0191531421</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1280845767</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781280845765</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">0199257205</subfield><subfield code="q">(Paper)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">0199257191</subfield><subfield code="q">(Cloth)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9780199257195</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9780199257201</subfield><subfield code="q">(pbk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9786610845767</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">661084576X</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9780191531422</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)132690934</subfield><subfield code="z">(OCoLC)154805281</subfield><subfield code="z">(OCoLC)314217163</subfield><subfield code="z">(OCoLC)427510859</subfield><subfield code="z">(OCoLC)437109491</subfield><subfield code="z">(OCoLC)455959919</subfield><subfield code="z">(OCoLC)476260646</subfield><subfield code="z">(OCoLC)560590339</subfield><subfield code="z">(OCoLC)570684776</subfield><subfield code="z">(OCoLC)613388477</subfield><subfield code="z">(OCoLC)630463984</subfield><subfield code="z">(OCoLC)646752651</subfield><subfield code="z">(OCoLC)722672258</subfield><subfield code="z">(OCoLC)728031843</subfield><subfield code="z">(OCoLC)728049115</subfield><subfield code="z">(OCoLC)961538129</subfield><subfield code="z">(OCoLC)962591268</subfield><subfield code="z">(OCoLC)966200263</subfield><subfield code="z">(OCoLC)971600383</subfield><subfield code="z">(OCoLC)971898764</subfield><subfield code="z">(OCoLC)974486408</subfield><subfield code="z">(OCoLC)974513837</subfield><subfield code="z">(OCoLC)991954989</subfield><subfield code="z">(OCoLC)991960098</subfield><subfield code="z">(OCoLC)992582319</subfield><subfield code="z">(OCoLC)994815252</subfield><subfield code="z">(OCoLC)1018028415</subfield><subfield code="z">(OCoLC)1035705204</subfield><subfield code="z">(OCoLC)1037939576</subfield><subfield code="z">(OCoLC)1038693982</subfield><subfield code="z">(OCoLC)1042144335</subfield><subfield code="z">(OCoLC)1042476004</subfield><subfield code="z">(OCoLC)1043486055</subfield><subfield code="z">(OCoLC)1044161909</subfield><subfield code="z">(OCoLC)1044250621</subfield><subfield code="z">(OCoLC)1044791928</subfield><subfield code="z">(OCoLC)1045466020</subfield><subfield code="z">(OCoLC)1047923678</subfield><subfield code="z">(OCoLC)1053520067</subfield><subfield code="z">(OCoLC)1055383258</subfield><subfield code="z">(OCoLC)1056308451</subfield><subfield code="z">(OCoLC)1056386952</subfield><subfield code="z">(OCoLC)1081297579</subfield><subfield code="z">(OCoLC)1096455158</subfield><subfield code="z">(OCoLC)1097283706</subfield><subfield code="z">(OCoLC)1099558491</subfield><subfield code="z">(OCoLC)1100527066</subfield><subfield code="z">(OCoLC)1101713732</subfield><subfield code="z">(OCoLC)1108975202</subfield><subfield code="z">(OCoLC)1110365414</subfield><subfield code="z">(OCoLC)1112811268</subfield><subfield code="z">(OCoLC)1119040514</subfield><subfield code="z">(OCoLC)1119140437</subfield><subfield code="z">(OCoLC)1121022332</subfield><subfield code="z">(OCoLC)1125452840</subfield><subfield code="z">(OCoLC)1136364885</subfield><subfield code="z">(OCoLC)1148106281</subfield><subfield code="z">(OCoLC)1157101824</subfield><subfield code="z">(OCoLC)1157929243</subfield><subfield code="z">(OCoLC)1162502915</subfield><subfield code="z">(OCoLC)1178726287</subfield><subfield code="z">(OCoLC)1183903094</subfield><subfield code="z">(OCoLC)1193007709</subfield><subfield code="z">(OCoLC)1194899415</subfield><subfield code="z">(OCoLC)1197545630</subfield><subfield code="z">(OCoLC)1228582653</subfield><subfield code="z">(OCoLC)1241869879</subfield><subfield code="z">(OCoLC)1249350363</subfield><subfield code="z">(OCoLC)1286908544</subfield><subfield code="z">(OCoLC)1296759128</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="a">084576</subfield><subfield code="b">MIL</subfield></datafield><datafield tag="037" ind1=" " ind2=" "><subfield code="b">CRKN/MyiLibrary</subfield><subfield code="c">CostDepend</subfield><subfield code="f">FormOnline</subfield><subfield code="g">AccessRestricted</subfield><subfield code="n">GovNo</subfield></datafield><datafield tag="042" ind1=" " ind2=" "><subfield code="a">dlr</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">QA274</subfield><subfield code="b">.S824 2005eb</subfield></datafield><datafield tag="055" ind1="1" ind2="3"><subfield code="a">QA274</subfield><subfield code="b">.S824 2005eb</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">MAT</subfield><subfield code="x">029040</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">519.2/3</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">85.03</subfield><subfield code="2">bcl</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">85.33</subfield><subfield code="2">bcl</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="245" ind1="0" ind2="0"><subfield code="a">Stochastic volatility :</subfield><subfield code="b">selected readings /</subfield><subfield code="c">edited by Neil Shephard.</subfield></datafield><datafield tag="260" ind1=" " ind2=" "><subfield code="a">Oxford ;</subfield><subfield code="a">New York :</subfield><subfield code="b">Oxford University Press,</subfield><subfield code="c">2005.</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (viii, 525 pages) :</subfield><subfield code="b">illustrations</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="347" ind1=" " ind2=" "><subfield code="a">data file</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Advanced texts in econometrics</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and indexes.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Print version record.</subfield></datafield><datafield tag="506" ind1=" " ind2=" "><subfield code="3">Use copy</subfield><subfield code="f">Restrictions unspecified</subfield><subfield code="2">star</subfield><subfield code="5">MiAaHDL</subfield></datafield><datafield tag="533" ind1=" " ind2=" "><subfield code="a">Electronic reproduction.</subfield><subfield code="b">[Place of publication not identified] :</subfield><subfield code="c">HathiTrust Digital Library,</subfield><subfield code="d">2010.</subfield><subfield code="5">MiAaHDL</subfield></datafield><datafield tag="538" ind1=" " ind2=" "><subfield code="a">Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.</subfield><subfield code="u">http://purl.oclc.org/DLF/benchrepro0212</subfield><subfield code="5">MiAaHDL</subfield></datafield><datafield tag="583" ind1="1" ind2=" "><subfield code="a">digitized</subfield><subfield code="c">2010</subfield><subfield code="h">HathiTrust Digital Library</subfield><subfield code="l">committed to preserve</subfield><subfield code="2">pda</subfield><subfield code="5">MiAaHDL</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P.</subfield></datafield><datafield tag="546" ind1=" " ind2=" "><subfield code="a">English.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Stochastic processes.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85128181</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85048260</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Money market</subfield><subfield code="x">Mathematical models.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Capital market</subfield><subfield code="x">Mathematical models.</subfield></datafield><datafield tag="650" ind1=" " ind2="2"><subfield code="a">Stochastic Processes</subfield><subfield code="0">https://id.nlm.nih.gov/mesh/D013269</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Finances</subfield><subfield code="x">Modèles mathématiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Processus stochastiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Marché monétaire</subfield><subfield code="x">Modèles mathématiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Marché financier</subfield><subfield code="x">Modèles mathématiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">MATHEMATICS</subfield><subfield code="x">Probability & Statistics</subfield><subfield code="x">Stochastic Processes.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Capital market</subfield><subfield code="x">Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Finance</subfield><subfield code="x">Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Money market</subfield><subfield code="x">Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastic processes</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1="1" ind2="7"><subfield code="a">Stochastische modellen.</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1="1" ind2="7"><subfield code="a">Beweeglijkheid.</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1="1" ind2="7"><subfield code="a">Econometrische analyse.</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1="1" ind2="7"><subfield code="a">Portfolio-theorie.</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Shephard, Neil.</subfield><subfield code="0">http://id.loc.gov/authorities/names/nr2001035765</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="t">Stochastic volatility.</subfield><subfield code="d">Oxford ; New York : Oxford University Press, 2005</subfield><subfield code="z">0199257191</subfield><subfield code="z">9780199257195</subfield><subfield code="w">(DLC) 2005299546</subfield><subfield code="w">(OCoLC)59711776</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Advanced texts in econometrics.</subfield><subfield code="0">http://id.loc.gov/authorities/names/n91107308</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-862</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191268</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-863</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191268</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-862</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1204711</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="4" ind2="0"><subfield code="l">DE-863</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FWS_PDA_EBU</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1204711</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">20451573</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest Ebook Central</subfield><subfield code="b">EBLB</subfield><subfield code="n">EBL422944</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ebrary</subfield><subfield code="b">EBRY</subfield><subfield code="n">ebr10233598</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">191268</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest MyiLibrary Digital eBook Collection</subfield><subfield code="b">IDEB</subfield><subfield code="n">84576</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">2875232</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">2561992</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBU</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-862</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection>
id	ZDB-4-EBU-ocn132690934
illustrated	Illustrated
indexdate	2025-03-18T14:27:32Z
institution	BVB
isbn	9781429469364 1429469366 9780191531422 0191531421 1280845767 9781280845765
language	English
oclc_num	132690934
open_access_boolean
owner	MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS
owner_facet	MAIN DE-862 DE-BY-FWS DE-863 DE-BY-FWS
physical	1 online resource (viii, 525 pages) : illustrations
psigel	ZDB-4-EBU FWS_PDA_EBU ZDB-4-EBU
publishDate	2005
publishDateSearch	2005
publishDateSort	2005
publisher	Oxford University Press,
record_format	marc
series	Advanced texts in econometrics.
series2	Advanced texts in econometrics
spelling	Stochastic volatility : selected readings / edited by Neil Shephard. Oxford ; New York : Oxford University Press, 2005. 1 online resource (viii, 525 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier data file Advanced texts in econometrics Includes bibliographical references and indexes. Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard. Print version record. Use copy Restrictions unspecified star MiAaHDL Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. MiAaHDL Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P. English. Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Money market Mathematical models. Capital market Mathematical models. Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 Finances Modèles mathématiques. Processus stochastiques. Marché monétaire Modèles mathématiques. Marché financier Modèles mathématiques. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Capital market Mathematical models fast Finance Mathematical models fast Money market Mathematical models fast Stochastic processes fast Stochastische modellen. gtt Beweeglijkheid. gtt Econometrische analyse. gtt Portfolio-theorie. gtt Shephard, Neil. http://id.loc.gov/authorities/names/nr2001035765 Print version: Stochastic volatility. Oxford ; New York : Oxford University Press, 2005 0199257191 9780199257195 (DLC) 2005299546 (OCoLC)59711776 Advanced texts in econometrics. http://id.loc.gov/authorities/names/n91107308
spellingShingle	Stochastic volatility : selected readings / Advanced texts in econometrics. Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard. Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Money market Mathematical models. Capital market Mathematical models. Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 Finances Modèles mathématiques. Processus stochastiques. Marché monétaire Modèles mathématiques. Marché financier Modèles mathématiques. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Capital market Mathematical models fast Finance Mathematical models fast Money market Mathematical models fast Stochastic processes fast Stochastische modellen. gtt Beweeglijkheid. gtt Econometrische analyse. gtt Portfolio-theorie. gtt
subject_GND	http://id.loc.gov/authorities/subjects/sh85128181 http://id.loc.gov/authorities/subjects/sh85048260 https://id.nlm.nih.gov/mesh/D013269
title	Stochastic volatility : selected readings /
title_auth	Stochastic volatility : selected readings /
title_exact_search	Stochastic volatility : selected readings /
title_full	Stochastic volatility : selected readings / edited by Neil Shephard.
title_fullStr	Stochastic volatility : selected readings / edited by Neil Shephard.
title_full_unstemmed	Stochastic volatility : selected readings / edited by Neil Shephard.
title_short	Stochastic volatility :
title_sort	stochastic volatility selected readings
title_sub	selected readings /
topic	Stochastic processes. http://id.loc.gov/authorities/subjects/sh85128181 Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Money market Mathematical models. Capital market Mathematical models. Stochastic Processes https://id.nlm.nih.gov/mesh/D013269 Finances Modèles mathématiques. Processus stochastiques. Marché monétaire Modèles mathématiques. Marché financier Modèles mathématiques. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Capital market Mathematical models fast Finance Mathematical models fast Money market Mathematical models fast Stochastic processes fast Stochastische modellen. gtt Beweeglijkheid. gtt Econometrische analyse. gtt Portfolio-theorie. gtt
topic_facet	Stochastic processes. Finance Mathematical models. Money market Mathematical models. Capital market Mathematical models. Stochastic Processes Finances Modèles mathématiques. Processus stochastiques. Marché monétaire Modèles mathématiques. Marché financier Modèles mathématiques. MATHEMATICS Probability & Statistics Stochastic Processes. Capital market Mathematical models Finance Mathematical models Money market Mathematical models Stochastic processes Stochastische modellen. Beweeglijkheid. Econometrische analyse. Portfolio-theorie.
work_keys_str_mv	AT shephardneil stochasticvolatilityselectedreadings

Verfügbarkeit

Es ist kein Print-Exemplar vorhanden.

Volltext öffnen

MARC

Datensatz im Suchindex

Es ist kein Print-Exemplar vorhanden.

Ähnliche Einträge