| Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time Softcover Repri Edition Contributor(s): Mele, Antonio (Author), Fornari, Fabio (Author) |
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ISBN: 1461370450 ISBN-13: 9781461370451 Publisher: Springer OUR PRICE: $104.49 Product Type: Paperback - Other Formats Published: October 2012 |
| Additional Information |
| BISAC Categories: - Business & Economics | Econometrics - Medical - Business & Economics | Finance - General |
| Dewey: 332.015 |
| Series: Dynamic Modeling and Econometrics in Economics and Finance |
| Physical Information: 0.35" H x 6.14" W x 9.21" (0.53 lbs) 147 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |