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

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Antonio Mele

Springer

2000-5-31

168

GBP 136.00

Hardcover

9780792378426

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发表于2024-07-01

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

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

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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.

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