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Empirical Studies on Volatility in International Stock Markets

169,38 
169,38 
2025-07-31 169.3800 InStock
Nemokamas pristatymas į paštomatus per 13-17 darbo dienų užsakymams nuo 19,00 

Knygos aprašymas

Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

Informacija

Autorius: Eugenie M. J. H. Hol
Serija: Dynamic Modeling and Econometrics in Economics and Finance
Leidėjas: Springer US
Išleidimo metai: 2010
Knygos puslapių skaičius: 180
ISBN-10: 1441953752
ISBN-13: 9781441953759
Formatas: Knyga minkštu viršeliu
Kalba: Anglų
Žanras: Econometrics and economic statistics

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