Empirical Studies on Volatility in International Stock Markets
ISBN:
9781402075193
Auflage:
2003
Verlag:
Springer US
Land des Verlags:
Deutschland
Erscheinungsdatum:
31.07.2003
Reihe:
Dynamic Modeling and Econometrics in Economics and Finance
Format:
Hardcover
Seitenanzahl:
161
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Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.
The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Schlagwörter
Innovation, Sustainability, and Technological Megatrends in the Face of Uncertainties
Erscheinungsjahr:
2025
