Stochastic Volatility in Financial Markets 2024 pdf epub mobi 电子书

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发表于2024-12-26

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出版者:Springer

作者:Antonio Mele

出品人:

页数:168

译者:

出版时间:2000-5-31

价格:GBP 136.00

装帧:Hardcover

isbn号码:9780792378426

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Stochastic Volatility in Financial Markets 2024 pdf epub mobi 电子书图书描述

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.

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