Modelling stock market volatility : bridging the gap to continuous time /: bridging the gap to continuous time. (©1996)

• Record Type: Book
• Further Information: Note: Edited by Peter E. Rossi.
• Other Names: Rossi, Peter E (Peter Eric), 1955-
• Contents: Modelling Stock Market Volatility Changes -- Stationarity and Persistence in the GARCH(I, I) Model -- Conditional Heteroskedasticity in Asset Returns: A New Approach -- Good News, Bad News, Volatility, and Betas -- ARCH Models as Diffusion Approximations -- Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model -- Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model -- Asymptotic Filtering Theory for Univariate ARCH Models -- Asymptotic Filtering Theory for Multivariate ARCH Models -- Continuous Record Asymptotics for Rolling Sample Variance Estimators -- Estimating Diffusion Models of Stochastic Volatility -- Specification Analysis of Continuous Time Models in Finance -- Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes -- Nonparametric Pricing of Interest Rate Derivative Securities -- Index.
• Publisher Details: San Diego : Academic Press
• Publication Date: 1996
• Copyright Date: 1996
• Extent: 1 online resource (xviii, 485 pages), illustrations
• Subjects: 332.63/222; Stocks -- Prices -- Mathematical models; Actions (Titres de société) -- Prix -- Modèles mathématiques; BUSINESS & ECONOMICS -- Investments & Securities -- Stocks; Stocks -- Prices -- Mathematical models; Effectenbeurzen; Wiskundige modellen; Electronic books; Electronic books
• Languages: English
• ISBNs: 9780125982757; 0125982755; 9780080511870; 0080511872
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.