Modelling Stock Market Volatility: Bridging the Gap to Continuous Time

Erscheinungsjahr 1996
ISBN: 978-0-12-598275-7
Verlag: ELSEVIER

Buch, Englisch, 485 Seiten, Format (B × H): 160 mm x 236 mm, Gewicht: 839 g

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.

Autoren/Hrsg.

Rossi, Peter H.

Fachgebiete

• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Datenanalyse, Datenverarbeitung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

Understanding And Specifying The Discrete Time Model:

D.B. Nelson, Modelling Stock Market Volatility Changes.
D.B. Nelson, Stationarity and Persistence in the GARCH(I,I) Model.
D.B. Nelson, Conditional Heteroskedasticity in Asset Returns: A New Approach.
P.A. Braun, D.B. Nelson and A.M. Sunier, Good News, Bad News, Volatility, and Betas.
Continuous Time Limits And Optimal Filtering For ARCH Models:

D.B. Nelson, ARCH Models as Diffusion Approximations.
D.B. Nelson, Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model.
D.B. Nelson and D.P. Foster, Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model.
D.B. Nelson and D.P. Foster, Asymptotic Filtering Theory for Univariate ARCH Models.
D.B. Nelson, Asymptotic Filtering Theory for Multivariate ARCH Models.
D.B. Nelson and D.B. Nelson, Continuous Record Asymptotics for Rolling Sample Variance Estimators.
Specification and Estimation of Continuous Time Processes:

R.F. Engle and G.G.J. Lee, Estimating Diffusion Models of Stochastic Volatility.
A.R. Gallant and G. Tauchen, Specification Analysis of Continuous Time Models in Finance.
L.P. Hansen and J.A. Scheinkman, Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes.
Y.Ait-Sahalia, Nonparametric Pricing of Interest Rate Derivative Securities.
Index.

Über Autor(innen)

Rossi, Peter H.
Professor of Econometrics, Marketing, and Statistics at the University of Chicago's Graduate School of Business, Peter Rossi has made significant contributions to the fields of finance, microeconomics, and econometrics. Dr. Rossi held the Kellogg Research Chair at Northwestern University, was the IBM Scholar in the Graduate School of Business at Chicago, and has won a number of awards for his work.