| 书目名称 | Stochastic Volatility in Financial Markets | | 副标题 | Crossing the Bridge | | 编辑 | Fabio Fornari,Antonio Mele | | 视频video | | | 丛书名称 | Dynamic Modeling and Econometrics in Economics and Finance | | 图书封面 |  | | 描述 | .Stochastic Volatility in Financial Markets. presentsadvanced topics in financial econometrics and theoretical finance, andis divided into three main parts. The first part aims at documentingan empirical regularity of financial price changes: the occurrence ofsudden and persistent changes of financial markets volatility. Thisphenomenon, technically termed `stochastic volatility‘, or`conditional heteroskedasticity‘, has been well known for at least 20years; in this part, further, useful theoretical properties ofconditionally heteroskedastic models are uncovered. The second partgoes beyond the statistical aspects of stochastic volatility models:it constructs and uses new fully articulated, theoretically-soundedfinancial asset pricing models that allow for the presence ofconditional heteroskedasticity. The third part shows how the inclusionof the statistical aspects of stochastic volatility in a rigorouseconomic scheme can be faced from an empirical standpoint. | | 出版日期 | Book 2000 | | 关键词 | Finance; asset pricing; econometrics; financial markets; option pricing; volatility | | 版次 | 1 | | doi | https://doi.org/10.1007/978-1-4615-4533-0 | | isbn_softcover | 978-1-4613-7045-1 | | isbn_ebook | 978-1-4615-4533-0Series ISSN 1566-0419 Series E-ISSN 2363-8370 | | issn_series | 1566-0419 | | copyright | Springer Science+Business Media New York 2000 |
The information of publication is updating
|
|
发表于 2025-3-21 16:31:50
