Modelling stock market volatility bridging the gap to continuous time
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| Format: | Elektronisch E-Book |
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| Sprache: | English |
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Academic Press
©1996
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| Online-Zugang: | Volltext |
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| 500 | |a 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. Key Features * Provides for the first time new insights on the links between continuous time and ARCH models * Collects seminal scholarship by some of the most renowned researchers in finance and econometrics * Captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics | ||
| 500 | |a Includes bibliographical references and index | ||
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Datensatz im Suchindex
| _version_ | 1819294033260838912 |
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| building | Verbundindex |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/222 |
| dewey-search | 332.63/222 |
| dewey-sort | 3332.63 3222 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | Modelling stock market volatility bridging the gap to continuous time edited by Peter E. Rossi San Diego Academic Press ©1996 1 Online-Ressource (xviii, 485 pages) txt rdacontent c rdamedia cr rdacarrier 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. Key Features * Provides for the first time new insights on the links between continuous time and ARCH models * Collects seminal scholarship by some of the most renowned researchers in finance and econometrics * Captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics Includes bibliographical references and index Actions (Titres de société) / Prix / Modèles mathématiques BUSINESS & ECONOMICS / Investments & Securities / Stocks bisacsh Effectenbeurzen gtt Wiskundige modellen gtt Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content USA (DE-588)4078704-7 g Aktienmarkt (DE-588)4130931-5 s Volatilität (DE-588)4268390-7 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 Aktienkurs (DE-588)4141736-7 s 3\p DE-604 Rossi, Peter E. Sonstige oth http://www.sciencedirect.com/science/book/9780125982757 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Modelling stock market volatility bridging the gap to continuous time Actions (Titres de société) / Prix / Modèles mathématiques BUSINESS & ECONOMICS / Investments & Securities / Stocks bisacsh Effectenbeurzen gtt Wiskundige modellen gtt Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Aktienkurs (DE-588)4141736-7 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4268390-7 (DE-588)4130931-5 (DE-588)4141736-7 (DE-588)4078704-7 (DE-588)4143413-4 |
| title | Modelling stock market volatility bridging the gap to continuous time |
| title_auth | Modelling stock market volatility bridging the gap to continuous time |
| title_exact_search | Modelling stock market volatility bridging the gap to continuous time |
| title_full | Modelling stock market volatility bridging the gap to continuous time edited by Peter E. Rossi |
| title_fullStr | Modelling stock market volatility bridging the gap to continuous time edited by Peter E. Rossi |
| title_full_unstemmed | Modelling stock market volatility bridging the gap to continuous time edited by Peter E. Rossi |
| title_short | Modelling stock market volatility |
| title_sort | modelling stock market volatility bridging the gap to continuous time |
| title_sub | bridging the gap to continuous time |
| topic | Actions (Titres de société) / Prix / Modèles mathématiques BUSINESS & ECONOMICS / Investments & Securities / Stocks bisacsh Effectenbeurzen gtt Wiskundige modellen gtt Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Volatilität (DE-588)4268390-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Aktienkurs (DE-588)4141736-7 gnd |
| topic_facet | Actions (Titres de société) / Prix / Modèles mathématiques BUSINESS & ECONOMICS / Investments & Securities / Stocks Effectenbeurzen Wiskundige modellen Mathematisches Modell Wirtschaft Stocks Prices Mathematical models Volatilität Aktienmarkt Aktienkurs USA Aufsatzsammlung |
| url | http://www.sciencedirect.com/science/book/9780125982757 |
| work_keys_str_mv | AT rossipetere modellingstockmarketvolatilitybridgingthegaptocontinuoustime |