東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Linked to FindBook

Google Book

Amazon

博客來

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

Record Type:	Language materials, printed : 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.
[NT 15003449]:	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.
Subject:	Stocks - Prices -
Online resource:	http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297148
Online resource:	http://www.sciencedirect.com/science/book/9780125982757An electronic book accessible through the World Wide Web; click for information
Online resource:	http://public.eblib.com/EBLPublic/PublicView.do?ptiID=453120Click here to view book
Online resource:	http://www.loc.gov/catdir/toc/els032/96026267.html
Online resource:	http://www.loc.gov/catdir/description/els032/96026267.html
ISBN:	0080511872 (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: 0080511872 (electronic bk.)Subjects--Topical Terms:

589967
Stocks
--PricesIndex Terms--Genre/Form:

542853
Electronic books.

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

Dewey Class. No.: 332.63/222

Modelling stock market volatility = bridging the gap to continuous time /
LDR:03575cam 2200373 a 45 001 893225
003 OCoLC
005 20101126
006 m d
007 cr cnu---unuuu
008 101126s1996 caua ob 001 0 eng d
020 $a 0080511872 (electronic bk.)
020 $a 9780080511870 (electronic bk.)
029 1 $a AU@ $b 000043178583
029 1 $a NZ1 $b 12541452
035 $a (OCoLC)213298428
035 $a ocn213298428
040 $a OPELS $b eng $c OPELS $d OPELS $d N $t $d OCLCQ $d ADU $d EBLCP
049 $a TEFA
050 4 $a HG4636 $b .M63 1996eb
082 0 4 $a 332.63/222 $2 22
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 589967
650 4 $a Stocks --Prices --Mathematical models. $3 1068648
650 6 $a Actions (Titres de soci�et�e) $x Prix $x Mod�eles math�ematiques. $3 1068649
650 1 7 $a Effectenbeurzen. $2 gtt $3 1068535
650 1 7 $a Wiskundige modellen. $2 gtt $3 996043
655 7 $a Electronic books. $2 lcsh $3 542853
700 1 $a Rossi, Peter E. $q (Peter Eric), $d 1955- $3 1068647
856 4 0 $3 NetLibrary $u http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=297148
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 0 $z Click here to view book $u http://public.eblib.com/EBLPublic/PublicView.do?ptiID=453120
856 4 1 $3 Table of contents $u http://www.loc.gov/catdir/toc/els032/96026267.html
856 4 2 $3 Publisher description $u http://www.loc.gov/catdir/description/els032/96026267.html
938 $a EBL - Ebook Library $b EBLB $n EBL453120
994 $a C0 $b TEF