Stochastic volatility : selected readings /
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...
| Други автори: | Shephard, Neil. |
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| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Oxford ; New York :
Oxford University Press,
2005.
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| Серия: |
Advanced texts in econometrics.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=191268 |
| Подобни документи: |
Print version::
Stochastic volatility. |
| Резюме: |
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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| Физически характеристики: |
1 online resource (viii, 525 pages) : illustrations. |
| Формат: |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |
| Библиография: |
Includes bibliographical references and indexes. |
| ISBN: |
9781429469364 1429469366 9780191531422 0191531421 |