Average Reviews:
(More customer reviews)Just as the title, it is a compact book and not so easy to read. It is a technic book for us to understand how to measure the volitility in the financial market.It takes me a lot of time to read this one.I think it would be better for people to know a little stochastic calculus at first and then try to read it.... It is a good book I think and suits for the one who wants to know the topic more deeply.
Click Here to see more reviews about: Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Dynamic Modeling and Econometrics in Economics and Finance)
Stochastic Volatility in Financial Markets presentsadvanced topics in financial econometrics and theoretical finance, andis divided into three main parts. The first part aims at documentingan empirical regularity of financial price changes: the occurrence ofsudden and persistent changes of financial markets volatility. Thisphenomenon, technically termed `stochastic volatility', or`conditional heteroskedasticity', has been well known for at least 20years; in this part, further, useful theoretical properties ofconditionally heteroskedastic models are uncovered. The second partgoes beyond the statistical aspects of stochastic volatility models:it constructs and uses new fully articulated, theoretically-soundedfinancial asset pricing models that allow for the presence ofconditional heteroskedasticity. The third part shows how the inclusionof the statistical aspects of stochastic volatility in a rigorouseconomic scheme can be faced from an empirical standpoint.
No comments:
Post a Comment