Modelling Stock Market Volatility: Bridging the Gap to Continuous Time

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9780125982757: Modelling Stock Market Volatility: Bridging the Gap to Continuous Time

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.

Key Features
* Provides for the first time new insights on the links between continuous time and ARCH models
* Collects seminal scholarship by some of the most renowned researchers in finance and econometrics
* Captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics

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About the Author:

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.

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Published by Academic Press (1996)
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Book Description Elsevier Science Publishing Co Inc, United States, 1996. Hardback. Book Condition: New. 236 x 160 mm. Language: English . Brand New Book. 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. Bookseller Inventory # AA59780125982757

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Published by Elsevier Science Publishing Co Inc, United States (1996)
ISBN 10: 0125982755 ISBN 13: 9780125982757
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Book Description Elsevier Science Publishing Co Inc, United States, 1996. Hardback. Book Condition: New. 236 x 160 mm. Language: English . Brand New Book. 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. Its key features are: it provides for the first time new insights on the links between continuous time and ARCH models; collects seminal scholarship by some of the most renowned researchers in finance and econometrics; and, captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics. Bookseller Inventory # AA59780125982757

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ROSSI, PETER
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Book Description Academic Press, 1996. Hardback. Book Condition: NEW. 9780125982757 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Bookseller Inventory # HTANDREE01199084

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