Stochastic Volatility in Financial Markets
ISBN:
9781461370451
Auflage:
Softcover reprint of the original 1st ed. 2000
Verlag:
Springer US
Land des Verlags:
Deutschland
Erscheinungsdatum:
26.10.2012
Reihe:
Dynamic Modeling and Econometrics in Economics and Finance
Format:
Softcover
Seitenanzahl:
147
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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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