Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Hardcover) (ISBN-13: 9780792378426)

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.

Author: Antonio Mele, Fabio Fornari
ISBN-10: 0792378423
ISBN-13: 9780792378426
Publisher: Springer
Language: English
Published: 05/31/2000
Pages: 147
Format: Hardcover
Weight: 0.91lbs
Size: 9.48h x 6.38w x 0.61d