Übersicht			Auf mobile öffnen

Lieferstatus:	i.d.R. innert 14-24 Tagen versandfertig
Veröffentlichung:	Mai 2000
Genre:	Wirtschaft / Recht
ISBN:	9780792378426
EAN-Code:	9780792378426
Verlag:	Springer Us
Einband:	Gebunden
Sprache:	English
Dimensionen:	H 241 mm / B 160 mm / D 16 mm
Gewicht:	430 gr
Seiten:	172
Zus. Info:	HC runder Rücken kaschiert
Bewertung:	Titel bewerten / Meinung schreiben

Inhalt:

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 and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.