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: | Englisch |
| Veröffentlicht: |
San Diego
Academic Press
1996
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| Schlagwörter: | |
| Links: | https://learning.oreilly.com/library/view/-/9780125982757/?ar |
| 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: | Includes bibliographical references and index. - Print version record |
| Umfang: | 1 Online-Ressource (xviii, 485 Seiten) illustrations |
| 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. | ||
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| id | ZDB-30-ORH-077123921 |
| illustrated | Illustrated |
| indexdate | 2025-01-17T11:20:31Z |
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| isbn | 9780125982757 0125982755 9780080511870 0080511872 |
| language | English |
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| publishDate | 1996 |
| publishDateSearch | 1996 |
| publishDateSort | 1996 |
| publisher | Academic Press |
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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-Ressource (xviii, 485 Seiten) illustrations Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Includes bibliographical references and index. - Print version record 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. Stocks Prices Mathematical models Actions (Titres de société) ; Prix ; Modèles mathématiques BUSINESS & ECONOMICS ; Investments & Securities ; Stocks Stocks ; Prices ; Mathematical models Effectenbeurzen Wiskundige modellen Rossi, Peter E. 1955- MitwirkendeR ctb 9780125982757 Erscheint auch als Druck-Ausgabe 9780125982757 |
| spellingShingle | Modelling stock market volatility bridging the gap to continuous time Stocks Prices Mathematical models Actions (Titres de société) ; Prix ; Modèles mathématiques BUSINESS & ECONOMICS ; Investments & Securities ; Stocks Stocks ; Prices ; Mathematical models Effectenbeurzen Wiskundige modellen |
| 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 Stocks ; Prices ; Mathematical models Effectenbeurzen Wiskundige modellen |
| 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 |
| work_keys_str_mv | AT rossipetere modellingstockmarketvolatilitybridgingthegaptocontinuoustime |