Modelling Stock Market Volatility: Bridging the Gap to Continuous Time by Peter E. Rossi 0000-00-00 00:00:00

eBook Best Deals & PDF Download Modelling Stock Market Volatility: Bridging the Gap to Continuous Time

by Peter E. Rossi
Book Views: 1
Modelling Stock Market Volatility: Bridging the Gap to Continuous Time by Peter E. Rossi
Author
Peter E. Rossi
Publisher
Academic Press
Date of release
Pages
505
ISBN
9780080511870
Binding
ebook
Illustrations
Format
PDF, EPUB, MOBI, TXT, DOC
Rating
5
40
Verified safe to download
See available formats

Book review

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.

  • 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

Find and Download Book — Modelling Stock Market Volatility: Bridging the Gap to Continuous Time

Click one of share button to proceed download:
Choose server for download:
Download
Get It!
File size:1 mb
Estimated time:4 min
If not downloading or you getting an error:
  • Try another server.
  • Try to reload page — press F5 on keyboard.
  • Clear browser cache.
  • Clear browser cookies.
  • Try other browser.
  • If you still getting an error — please contact us and we will fix this error ASAP.
Sorry for inconvenience!
For authors or copyright holders
Amazon Affiliate

Go to Removal form

Leave a comment

Readers reviews