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Item Details
Title: MODELLING STOCK MARKET VOLATILITY
BRIDGING THE GAP TO CONTINUOUS TIME
By: Peter H. Rossi (Editor)
Format: Hardback

List price: £107.00


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ISBN 10: 0125982755
ISBN 13: 9780125982757
Publisher: ELSEVIER SCIENCE PUBLISHING CO INC
Pub. date: 18 November, 1996
Pages: 485
Description: Presents a collection of essays that focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications. This book provides insights about the links between these two models and the work on practical estimation methods for continuous time models.
Synopsis: 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.
Publication: US
Imprint: Academic Press Inc
Returns: Non-returnable
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