Stochastic Volatility in Financial Markets is popular PDF and ePub book, written by Antonio Mele in 2012-12-06, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Stochastic Volatility in Financial Markets can be Read Online from any device for your convenience.
Stochastic Volatility in Financial Markets Book PDF Summary
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.
Detail Book of Stochastic Volatility in Financial Markets PDF
- Author : Antonio Mele
- Release : 06 December 2012
- Publisher : Springer Science & Business Media
- ISBN : 9781461545330
- Genre : Business & Economics
- Total Page : 156 pages
- Language : English
- PDF File Size : 15,9 Mb
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