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Loading... Modelling stock market volatility : bridging the gap to continuous time (edition 1996)by Peter E. Rossi
Work InformationModelling stock market volatility : bridging the gap to continuous time by Peter H. Rossi
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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. No library descriptions found. |
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Google Books — Loading... GenresMelvil Decimal System (DDC)332.63Social sciences Economics Finance Investing Personal InvestingLC ClassificationRatingAverage:
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