Stochastic Volatility in Financial Markets 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

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Antonio Mele 作者

Springer

译者

2000-5-31 出版日期

168 页数

GBP 136.00 价格

Hardcover

丛书系列

9780792378426 图书编码

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发表于2024-11-23

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Stochastic Volatility in Financial Markets 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

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Stochastic Volatility in Financial Markets 在线电子书 pdf 下载 txt下载 epub 下载 mobi 在线电子书下载

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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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