 |
|
| MODELLING STOCK MARKET VOLATILITY
| |
| | |
|
|
Bridging the Gap to Continuous Time
To order this title, and for more information, click here
Edited By
Peter Rossi, University of Massachusetts, Amherst, U.S.A.
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.
Contents
Understanding And Specifying The Discrete Time Model:
D.B. Nelson, Modelling Stock Market Volatility Changes.
D.B. Nelson, Stationarity and Persistence in the GARCH(I,I) Model.D.B. Nelson, Conditional Heteroskedasticity in Asset
Returns: A New Approach.P.A. Braun, D.B. Nelson and A.M. Sunier, Good News, Bad News, Volatility, and Betas.
Continuous
Time Limits And Optimal Filtering For ARCH Models:
D.B. Nelson, ARCH Models as Diffusion Approximations.D.B. Nelson,
Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model.D.B. Nelson and D.P.
Foster, Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model.D.B. Nelson
and D.P. Foster, Asymptotic Filtering Theory for Univariate ARCH Models.D.B. Nelson, Asymptotic Filtering Theory for Multivariate
ARCH Models.D.B. Nelson and D.B. Nelson, Continuous Record Asymptotics for Rolling Sample Variance Estimators.
Specification
and Estimation of Continuous Time Processes:
R.F. Engle and G.G.J. Lee, Estimating Diffusion Models of Stochastic Volatility.
A.R. Gallant and G. Tauchen, Specification Analysis of Continuous Time Models in Finance.L.P. Hansen and J.A. Scheinkman,
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes.Y.Ait-Sahalia, Nonparametric Pricing
of Interest Rate Derivative Securities.
Index.
| Bibliographic details |
Hardbound, 485 pages, publication date: NOV-1996
ISBN-13: 978-0-12-598275-7
ISBN-10: 0-12-598275-5
Imprint: ACADEMIC PRESS
|
| Price and Ordering |
Price:
EUR 97.95
USD 135
GBP 83
|  |
Books and book related electronic products are priced in US dollars (USD), euro (EUR), and Great Britain Pounds (GBP). USD prices apply to the Americas and Asia Pacific. EUR prices apply in Europe and the Middle East. GBP prices apply to the UK and all other countries.
|
See also information about conditions of sale & ordering procedures, and links to our regional sales offices.
|
999/999
Last update: 7 Sep 2009
|
|
| |
| | |
|
|
| |
Home | Elsevier Sites | Privacy Policy | Terms and Conditions | Feedback | Site Map | A Reed Elsevier Company