Modelling stock market volatility : bridging the gap to continuous time

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Title:

Author:

Rossi, Peter E. (Peter Eric), 1955-

ISBN:

9780125982757

Publication Information:

San Diego : Academic Press, c1996.

Physical Description:

xviii, 485 p. : ill. ; 24 cm.

Contents:

1. Modelling Stock Market Volatility Changes / Daniel B. Nelson -- 2. Stationarity and Persistence in the GARCH(I,I) Model / Daniel B. Nelson -- 3. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 4. Good News, Bad News, Volatility, and Betas / Phillip A. Braun, Daniel B. Nelson and Alain M. Sunier -- 5. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 6. Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model / Daniel B. Nelson -- 7. Filtering and Forecasting with Misspecified ARCH Models II: Making the Right Forecast with the Wrong Model / Daniel B. Nelson and Dean P. Foster -- 8. Asymptotic Filtering Theory for Univariate ARCH Models / Daniel B. Nelson and Dean P. Foster -- 9. Asymptotic Filtering Theory for Multivariate ARCH Models / Daniel B. Nelson -- 10. Continuous Record Asymptotics for Rolling Sample Variance Estimators / Dean P. Foster and Daniel B. Nelson.

11. Estimating Diffusion Models of Stochastic Volatility / Robert F. Engle and Gary G. J. Lee -- 12. Specification Analysis of Continuous Time Models in Finance / A. Ronald Gallant and George Tauchen -- 13. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes / Lars Peter Hansen and Jose Alexandre Scheinkman -- 14. Nonparametric Pricing of Interest Rgte Derivative Securities / Yacine Ait-Sahalia.

Subject Term:

Stocks -- Prices -- Mathematical models.

Added Author:

Rossi, Peter E. (Peter Eric), 1955-

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025558988	332.63222 R833M 1996	1	Searching... Unknown

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Summary

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.