rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Modelling stock market volatility
    sub title: bridging the gap to continuous time
  name:
    name part: Rossi, Peter E. (Peter Eric)
    name part: 1955-
  type of resource: text
  genre: bibliography
  origin info:
    place:
      place term: cau
    place:
      place term: San Diego
    publisher: Academic Press
    date issued: ©1996
    date issued: 1996
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xviii, 485 pages) : illustrations
  abstract: 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.
  table of 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.
  note: edited by Peter E. Rossi.
  note: Includes bibliographical references and index.
  subject:
    topic: Stocks
    topic: Prices
    topic: Mathematical models
  subject:
    topic: Actions (Titres de société)
    topic: Prix
    topic: Modèles mathématiques
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Investments & Securities
    topic: Stocks
  subject:
    topic: Stocks
    topic: Prices
    topic: Mathematical models
  subject:
    topic: Effectenbeurzen
  subject:
    topic: Wiskundige modellen
  classification: HG4636 .M63 1996eb
  classification: 332.63/222
  related item:
    title info:
      title: Modelling stock market volatility
    origin info:
      publisher: San Diego : Academic Press, ©1996
    identifier: (DLC) 96026267
    identifier: (OCoLC)34965866
  identifier: 9780125982757
  identifier: 0125982755
  identifier: 9780080511870
  identifier: 0080511872
  identifier: CL0500000178 Safari Books Online
  identifier: https://proxy.library.tamu.edu/login
  record info:
    record content source: OPELS
    record creation date: 080310
    record change date: 20260129210350.6
    record identifier: in00004665202
    language of cataloging:
      language term: eng