| 书目名称 | Empirical Studies on Volatility in International Stock Markets |
| 编辑 | Eugenie M. J. H. Hol |
| 视频video | |
| 丛书名称 | Dynamic Modeling and Econometrics in Economics and Finance |
| 图书封面 |  |
| 描述 | .Empirical Studies on Volatility in International Stock Markets. describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. .The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area. |
| 出版日期 | Book 2003 |
| 关键词 | GARCH; Option Pricing; Portfolio; Volatility; decision making; development; hedging; modeling; value at risk |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-1-4757-5129-1 |
| isbn_softcover | 978-1-4419-5375-9 |
| isbn_ebook | 978-1-4757-5129-1Series ISSN 1566-0419 Series E-ISSN 2363-8370 |
| issn_series | 1566-0419 |
| copyright | Springer Science+Business Media Dordrecht 2003 |
发表于 2025-3-21 19:41:13
