Name: Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (en Inglés)
Price: 309232.00 COP
Availability: InStock
Author: Mele, Antonio ; Fornari, Fabio
ISBN: 9781461370451

portada Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (en Inglés)

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (en Inglés)

Formato

Libro Físico

Autor

Antonio Melé

Fabio Fornari

Editorial

Springer

Idioma

Inglés

N° páginas

147

Encuadernación

Tapa Blanda

Dimensiones

23.4 x 15.6 x 0.9 cm

Peso

0.24 kg.

ISBN13

9781461370451

Categorías

Econometría
Finanzas
Medicina: cuestiones generales

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (en Inglés)

Antonio Melé (Autor) · Fabio Fornari (Autor) · Springer · Tapa Blanda

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Reseña del libro "Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (en Inglés)"

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.