Econometric Modelling of Stock Market Intraday Activity
Language: English
Published by Springer US Aug 2001, 2001
Series: Book 46 of 54 - Advanced Studies in Theoretical and Applied Econometrics
- Hardcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 92.51
Quantity: 2 available
Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled. 200 pp. Englisch.…
Seller Inventory # 9780792374244
- Title
- Econometric Modelling of Stock Market Intraday Activity
- Author
- Pierre Giot
- Publisher
- Springer US Aug 2001
- Publication year
- 2001
- Condition
- Neu
- Binding
- Buch
- Language
- English
- ISBN 10
- 079237424X
- ISBN 13
- 9780792374244
- Item weight
- 471 grams
- Dimensions
- 241x160x16 mm
- Series
- Book 46 of 54: Advanced Studies in Theoretical and Applied Econometrics
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About the Author
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BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
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