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Empirical Studies on Volatility in International Stock Markets
Hol, Eugenie M.J.H. (Amsterdam, The Netherlands)
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Description for Empirical Studies on Volatility in International Stock Markets
paperback. Series: Dynamic Modeling and Econometrics in Economics and Finance. Num Pages: 175 pages, black & white illustrations. BIC Classification: KCH; KCL. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 9. Weight in Grams: 262.
Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.
The intended readers are financial professionals who seek ... Read more
Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.
The intended readers are financial professionals who seek ... Read more
Product Details
Format
Paperback
Publication date
2010
Publisher
Springer-Verlag New York Inc. United States
Number of pages
175
Condition
New
Series
Dynamic Modeling and Econometrics in Economics and Finance
Number of Pages
161
Place of Publication
New York, NY, United States
ISBN
9781441953759
SKU
V9781441953759
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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