skip to content
Modelling stock market volatility : bridging the gap to continuous time Preview this item
ClosePreview this item
Checking...

Modelling stock market volatility : bridging the gap to continuous time

Author: Peter E Rossi
Publisher: San Diego : Academic Press, ©1996.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Modelling stock market volatility.
San Diego : Academic Press, ©1996
(DLC) 96026267
(OCoLC)34965866
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Peter E Rossi
ISBN: 9780125982757 0125982755 9780080511870 0080511872
OCLC Number: 213298428
Description: 1 online resource (xviii, 485 pages) : illustrations
Contents: 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.
Responsibility: edited by Peter E. Rossi.
More information:

Abstract:

Presents a collection of essays that focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications. This book provides  Read more...

Reviews

Editorial reviews

Publisher Synopsis

"Finance applications have led to a rebirth of interest in continuous time econometric modelling. This volume stresses the achievements of Dan Nelson and includes important contributions." --PETER M. Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/213298428> # Modelling stock market volatility : bridging the gap to continuous time
    a schema:CreativeWork, schema:MediaObject, schema:Book ;
    library:oclcnum "213298428" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/cau> ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/792752278#Place/san_diego> ; # San Diego
    schema:about <http://experiment.worldcat.org/entity/work/data/792752278#Topic/wiskundige_modellen> ; # Wiskundige modellen
    schema:about <http://id.loc.gov/authorities/subjects/sh2008112291> ; # Stocks--Prices--Mathematical models
    schema:about <http://dewey.info/class/332.63222/e22/> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/792752278#Topic/effectenbeurzen> ; # Effectenbeurzen
    schema:about <http://experiment.worldcat.org/entity/work/data/792752278#Topic/business_&_economics_investments_&_securities_stocks> ; # BUSINESS & ECONOMICS--Investments & Securities--Stocks
    schema:about <http://experiment.worldcat.org/entity/work/data/792752278#Topic/actions_titres_de_societe_prix_modeles_mathematiques> ; # Actions (Titres de société)--Prix--Modèles mathématiques
    schema:about <http://id.worldcat.org/fast/1133728> ; # Stocks--Prices--Mathematical models
    schema:bookFormat schema:EBook ;
    schema:contributor <http://experiment.worldcat.org/entity/work/data/792752278#Person/rossi_peter_e_peter_eric_1955> ; # Peter Eric Rossi
    schema:copyrightYear "1996" ;
    schema:datePublished "1996" ;
    schema:description "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."@en ;
    schema:description "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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/792752278> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/34965866> ;
    schema:name "Modelling stock market volatility : bridging the gap to continuous time"@en ;
    schema:productID "213298428" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/213298428#PublicationEvent/san_diego_academic_press_1996> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/792752278#Agent/academic_press> ; # Academic Press
    schema:url <http://www.myilibrary.com?id=228482> ;
    schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=453120> ;
    schema:url <http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=297148> ;
    schema:url <http://www.sciencedirect.com/science/book/9780125982757> ;
    schema:url <http://site.ebrary.com/id/10329507> ;
    schema:url <http://catdir.loc.gov/catdir/toc/els032/96026267.html> ;
    schema:url <http://proquest.safaribooksonline.com/?fpi=9780125982757> ;
    schema:workExample <http://worldcat.org/isbn/9780125982757> ;
    schema:workExample <http://worldcat.org/isbn/9780080511870> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/213298428> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/792752278#Agent/academic_press> # Academic Press
    a bgn:Agent ;
    schema:name "Academic Press" ;
    .

<http://experiment.worldcat.org/entity/work/data/792752278#Person/rossi_peter_e_peter_eric_1955> # Peter Eric Rossi
    a schema:Person ;
    schema:birthDate "1955" ;
    schema:familyName "Rossi" ;
    schema:givenName "Peter Eric" ;
    schema:givenName "Peter E." ;
    schema:name "Peter Eric Rossi" ;
    .

<http://experiment.worldcat.org/entity/work/data/792752278#Topic/actions_titres_de_societe_prix_modeles_mathematiques> # Actions (Titres de société)--Prix--Modèles mathématiques
    a schema:Intangible ;
    schema:name "Actions (Titres de société)--Prix--Modèles mathématiques"@fr ;
    .

<http://experiment.worldcat.org/entity/work/data/792752278#Topic/business_&_economics_investments_&_securities_stocks> # BUSINESS & ECONOMICS--Investments & Securities--Stocks
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS--Investments & Securities--Stocks"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/792752278#Topic/wiskundige_modellen> # Wiskundige modellen
    a schema:Intangible ;
    schema:name "Wiskundige modellen"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh2008112291> # Stocks--Prices--Mathematical models
    a schema:Intangible ;
    schema:name "Stocks--Prices--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/1133728> # Stocks--Prices--Mathematical models
    a schema:Intangible ;
    schema:name "Stocks--Prices--Mathematical models"@en ;
    .

<http://worldcat.org/isbn/9780080511870>
    a schema:ProductModel ;
    schema:isbn "0080511872" ;
    schema:isbn "9780080511870" ;
    .

<http://worldcat.org/isbn/9780125982757>
    a schema:ProductModel ;
    schema:isbn "0125982755" ;
    schema:isbn "9780125982757" ;
    .

<http://www.worldcat.org/oclc/34965866>
    a schema:CreativeWork ;
    rdfs:label "Modelling stock market volatility." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/213298428> ; # Modelling stock market volatility : bridging the gap to continuous time
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.