Stochastic volatility : selected readings

edited by Neil Shephard

Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P. K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P

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Year of publication:	c2005
Other Persons:	Shephard, Neil (contributor)
Publisher:	Oxford : Oxford University Press
Subject:	Zeitreihenanalyse \| Time series analysis \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Stochastische Analysis \| Kapitalmarkt \| Kreditmarkt \| Geldmarkt \| Ökonometrisches Modell
Description of contents:	Table of Contents [external.dandelon.com] ; Description [zbmath.org]

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Extent:	Online-Ressource (viii, 525 p) ill 25 cm
Series:	Advanced texts in econometrics
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatzsammlung
Language:	English
Notes:	Includes bibliographical references and indexes Contents; List of Contributors; General Introduction; Part I. Model building; Part II. Inference; Part III. Option pricing; Part IV. Realised variation; Author Index; Subject Index Electronic reproduction; Available via World Wide Web
ISBN:	978-0-19-925719-5 ; 0-19-925720-5 ; 0-19-925719-1 ; 978-0-19-925719-5
Classification:	Wahrscheinlichkeitsrechnung ; Investition, Finanzierung ; Methoden und Techniken der Volkswirtschaft
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012685317