Name: Modelling Stock Market Volatility: Bridging the gap to Continuous Time (en Inglés)
Price: 3693.20 MXN
Availability: InStock
Author: Peter H. Rossi
ISBN: 9780125982757

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portada Modelling Stock Market Volatility: Bridging the gap to Continuous Time (en Inglés)

Formato

Libro Físico

Editorial

Academic Press

Autor

Peter H. Rossi

Año

1996

Idioma

Inglés

N° páginas

485

Encuadernación

Tapa Dura

ISBN

0125982755

ISBN13

9780125982757

N° edición

Modelling Stock Market Volatility: Bridging the gap to Continuous Time (en Inglés)

Peter H. Rossi (Autor) · Academic Press · Tapa Dura

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Reseña del libro "Modelling Stock Market Volatility: Bridging the gap to Continuous Time (en Inglés)"

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.Provides for the first time new insights on the links between continuous time and ARCH modelsCollects seminal scholarship by some of the most renowned researchers in finance and econometricsCaptures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics