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.
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.
Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.
Inhaltsangabe
* General Introduction * Part I: Model Building * 1: P. K. Clark: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices * 2: S. J. Taylor: Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79 * 3: B. Rosenberg: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices * 4: J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities * 5: F. X. Diebold and M. Nerlove: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model * 6: A. C. Harvey, E. Ruiz, and N. Shephard: Multivariate Stochastic Variance Models * 7: T. G. Andersen: Stochastic Autoregressive Volatility: A Framework for Volatility Modeling * 8: F. Comte and E. Renault: Long Memory in Continuous-time Stochastic Volatility Models * Part II: Inference * 9: E. Jacquier, N. G. Polson, and P. E. Rossi: Bayesian Analysis of Stochastic Volatility Models * 10: S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Likelihood Inference and Comparison with ARCH models * 11: A. R. Gallant, D. Hsieh, and G. Tauchen: Estimation of Stochastic Volatility Models with Diagnostics * Part III: Option Pricing * 12: A. Melino and S. M. Turnbull: Pricing Foreign Currency Options with Stochastic Volatility * 13: S. L. Heston: A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options * 14: M. Chernov and E. Ghysels: A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation * Part IV: Realised Variation * 15: T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys: The Distribution of Exchange Rate Volatility * 16: O. E. Barndorff-Nielsen and N. Shephard: Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models * Index
* General Introduction * Part I: Model Building * 1: P. K. Clark: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices * 2: S. J. Taylor: Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79 * 3: B. Rosenberg: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices * 4: J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities * 5: F. X. Diebold and M. Nerlove: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model * 6: A. C. Harvey, E. Ruiz, and N. Shephard: Multivariate Stochastic Variance Models * 7: T. G. Andersen: Stochastic Autoregressive Volatility: A Framework for Volatility Modeling * 8: F. Comte and E. Renault: Long Memory in Continuous-time Stochastic Volatility Models * Part II: Inference * 9: E. Jacquier, N. G. Polson, and P. E. Rossi: Bayesian Analysis of Stochastic Volatility Models * 10: S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Likelihood Inference and Comparison with ARCH models * 11: A. R. Gallant, D. Hsieh, and G. Tauchen: Estimation of Stochastic Volatility Models with Diagnostics * Part III: Option Pricing * 12: A. Melino and S. M. Turnbull: Pricing Foreign Currency Options with Stochastic Volatility * 13: S. L. Heston: A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options * 14: M. Chernov and E. Ghysels: A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation * Part IV: Realised Variation * 15: T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys: The Distribution of Exchange Rate Volatility * 16: O. E. Barndorff-Nielsen and N. Shephard: Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models * Index
Es gelten unsere Allgemeinen Geschäftsbedingungen: www.buecher.de/agb
Impressum
www.buecher.de ist ein Internetauftritt der buecher.de internetstores GmbH
Geschäftsführung: Monica Sawhney | Roland Kölbl | Günter Hilger
Sitz der Gesellschaft: Batheyer Straße 115 - 117, 58099 Hagen
Postanschrift: Bürgermeister-Wegele-Str. 12, 86167 Augsburg
Amtsgericht Hagen HRB 13257
Steuernummer: 321/5800/1497
USt-IdNr: DE450055826
