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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time

Fornari, Fabio
Mele, Antonio

Paperback

Series: Dynamic Modeling and Econometrics in Economics and Finance, Book 3

EconomicsInvesting & FinanceMedical Reference

ISBN10: 1461370450
ISBN13: 9781461370451
Publisher: Springer
Published: Oct 26 2012
Pages: 147
Weight: 0.53
Height: 0.35 Width: 6.14 Depth: 9.21
Language: English
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.

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