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Modelling stock market volatility = bridging the gap to continuous time /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Modelling stock market volatility/ edited by Peter E. Rossi.
Reminder of title:	bridging the gap to continuous time /
other author:	Rossi, Peter E.
Published:	San Diego :Academic Press, : c1996.,
Description:	1 online resource (xviii, 485 p.) :ill. :
Notes:	Description based on print version record.
Subject:	Stocks - Prices -
Online resource:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780080511870 (electronic bk.)

Modelling stock market volatility = bridging the gap to continuous time /
Modelling stock market volatilitybridging the gap to continuous time /[electronic resource] :edited by Peter E. Rossi. - San Diego :Academic Press,c1996. - 1 online resource (xviii, 485 p.) :ill.

Description based on print version record.

Includes bibliographical references and index.

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.

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. Key Features * 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.

ISBN: 9780080511870 (electronic bk.)Subjects--Topical Terms:

131705
Stocks
--PricesIndex Terms--Genre/Form:

96803
Electronic books.

LC Class. No.: HG4636 / .M63 1996eb

Dewey Class. No.: 332.63/222

Modelling stock market volatility = bridging the gap to continuous time /
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020 $a 9780080511870 (electronic bk.)
020 $a 0080511872 (electronic bk.)
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029 1 $a AU@ $b 000043178583
035 $a (OCoLC)213298428
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050 4 $a HG4636 $b .M63 1996eb
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245 0 0 $a Modelling stock market volatility $h [electronic resource] : $b bridging the gap to continuous time / $c edited by Peter E. Rossi.
260 $a San Diego : $c c1996. $b Academic Press,
300 $a 1 online resource (xviii, 485 p.) : $b ill.
500 $a Description based on print version record.
504 $a Includes bibliographical references and index.
505 0 $a 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.
520 $a 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. Key Features * 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.
650 0 $a Stocks $x Prices $x Mathematical models. $3 131705
650 6 $a Actions (Titres de soci�et�e) $x Prix $x Mod�eles math�ematiques. $3 291975
650 1 7 $a Effectenbeurzen. $2 gtt $3 291813
650 1 7 $a Wiskundige modellen. $2 gtt $3 279188
650 4 $a Stocks --Prices --Mathematical models. $3 291976
655 7 $a Electronic books. $2 local. $3 96803
700 1 $a Rossi, Peter E. $q (Peter Eric), $d 1955- $3 291974
776 0 8 $i Print version: $t Modelling stock market volatility. $d San Diego : Academic Press, c1996 $z 9780125982757 $w (DLC) 96026267 $w (OCoLC)34965866
856 4 0 $3 ScienceDirect $u http://www.sciencedirect.com/science/book/9780125982757 $z An electronic book accessible through the World Wide Web; click for information
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/description/els032/96026267.html
856 4 1 $3 Table of contents $u http://www.loc.gov/catdir/toc/els032/96026267.html
856 4 0 $3 NetLibrary $u http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297148
856 4 0 $z Click here to view book $u http://public.eblib.com/EBLPublic/PublicView.do?ptiID=453120
938 $a EBL - Ebook Library $b EBLB $n EBL453120
994 $a C0 $b TEF

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