Antonio Mele

(Author)

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (2000)Hardcover - 2000, 31 May 2000

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (2000)
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Part of Series
Dynamic Modeling and Econometrics in Economics and Finance
Print Length
147 pages
Language
English
Publisher
Springer
Date Published
31 May 2000
ISBN-10
0792378423
ISBN-13
9780792378426

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.

Product Details

Authors:
Antonio MeleFabio Fornari
Book Edition:
2000
Book Format:
Hardcover
Country of Origin:
US
Date Published:
31 May 2000
Dimensions:
24.08 x 16.21 x 1.55 cm
ISBN-10:
0792378423
ISBN-13:
9780792378426
Language:
English
Location:
New York, NY
Pages:
147
Publisher:
Weight:
412.77 gm

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