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

$39.99

This essay collection focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications.

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About this eTextbook

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.

Publication details

Author: Rossi, Peter H.
Publisher: Academic Press
eText ISBN: 9780125982757, 9780080511870, 0080511872
Print ISBN: 9780125982757, 0125982755

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About this eTextbook

This work will lead to a rapid growth in their empirical application as they are increasingly subjected to routine specification testing.

Publication details

Author: Rossi, Peter H.
Publisher: Academic Press
eText ISBN: 9780125982757, 9780080511870, 0080511872
Print ISBN: 9780125982757, 0125982755

What you receive

A licensed digital edition of this title, supplied as PDF or EPUB. The format is set by the publisher, so email us the ISBN before ordering and we will confirm which one it is.
Delivered to the email address on your order as a secure download link, usually within minutes and always within 24 hours of payment.
Download links do not expire and there is no cap on re-downloads. Readable on any computer, tablet or phone, online or offline.
This is a digital edition. Nothing is printed, packed or posted, and there is no delivery charge.