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Stochastic Volatility in Financial Markets
Mele, Antonio; Fornari, Fabio
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Description for Stochastic Volatility in Financial Markets
Paperback. Series: Dynamic Modeling and Econometrics in Economics and Finance. Num Pages: 162 pages, biography. BIC Classification: KCH; KFF; MB. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 8. Weight in Grams: 260.
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs ... Read more
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs ... Read more
Product Details
Format
Paperback
Publication date
2012
Publisher
Springer-Verlag New York Inc. United States
Number of pages
162
Condition
New
Series
Dynamic Modeling and Econometrics in Economics and Finance
Number of Pages
147
Place of Publication
New York, NY, United States
ISBN
9781461370451
SKU
V9781461370451
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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