Cargando…
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford ; New York :
Oxford University Press,
2005.
|
| Colección: | Advanced texts in econometrics.
|
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
|---|---|
| Descripción Física: | 1 online resource (viii, 525 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and indexes. |
| ISBN: | 9781429469364 1429469366 9780191531422 0191531421 1280845767 9781280845765 |