Modelling stock market volatility bridging the gap to continuous time
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 pract...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
San Diego :
Academic Press
c1996.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009633568106719 |
Tabla de Contenidos:
- Front Cover; Modelling Stock Market Volatility: Bridging the Gap to Continuous Time; Copyright Page; CONTENTS; CONTRIBUTORS; INTRODUCTION; PART I: UNDERSTANDING AND SPECIFYING THE DISCRETE TIME MODEL; Chapter 1. Modelling Stock Market Volatility Changes; Chapter 2. Stationarity and Persistence in the GARCH(I,I) Model; Chapter 3. Conditional Heteroskedasticity in Asset Returns: A New Approach; Chapter 4. Good News, Bad News, Volatility, and Betas; PART II: CONTINUOUS TIME LIMITS AND OPTIMAL FILTERING FOR ARCH MODELS; Chapter 5. ARCH Models as Diffusion Approximations
- Chapter 6. Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model; Chapter 7. Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model; Chapter 8. Asymptotic Filtering Theory for Univariate ARCH Models; Chapter 9. Asymptotic Filtering Theory for Multivariate ARCH Models; Chapter 10. Continuous Record Asymptotics for Rolling Sample Variance Estimators; PART III: SPECIFICATION AND ESTIMATION OF CONTINUOUS TIME PROCESSES; Chapter 11. Estimating Diffusion Models of Stochastic Volatility
- Chapter 12. Specification Analysis of Continuous Time Models in Finance; Chapter 13. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes; Chapter 14. Nonparametric Pricing of Interest Rate Derivative Securities; INDEX
