Modelling Stock Market Volatility : Bridging the Gap to Continuous Time Hardback
Edited by Peter H. (University of Massachusetts, Amherst, U.S.A.) Rossi
Hardback
Description
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.
Information
-
Out of stock
- Format:Hardback
- Pages:485 pages
- Publisher:Elsevier Science Publishing Co Inc
- Publication Date:19/11/1996
- Category:
- ISBN:9780125982757
Information
-
Out of stock
- Format:Hardback
- Pages:485 pages
- Publisher:Elsevier Science Publishing Co Inc
- Publication Date:19/11/1996
- Category:
- ISBN:9780125982757