Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time / Edition 1

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time / Edition 1

by Antonio Mele, Fabio Fornari
     
 

ISBN-10: 0792378423

ISBN-13: 9780792378426

Pub. Date: 05/31/2000

Publisher: Springer US

In this book, the authors emphasize the use of the popular ARCH models in formulating, estimating and testing the continuous time stochastic volatility models favored in the theoretical literature. The primary motivation of this research project is the result that although ARCH p rocesses are stochastic difference equations, they can be thought of a s reasonable

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Overview

In this book, the authors emphasize the use of the popular ARCH models in formulating, estimating and testing the continuous time stochastic volatility models favored in the theoretical literature. The primary motivation of this research project is the result that although ARCH p rocesses are stochastic difference equations, they can be thought of a s reasonable approximations to the solutions of stochastic differentia l equations as the sampling frequency gets higher and higher. In this book, the authors make use of simulation based econometric methods and show how to test whether the approximation and filtering results for ARCH models are indeed valid. The statistical methodology used rests o n the indirect inference principle, and is applied to a new class of f ully articulated continuous time equilibrium models for the determinat ion of the term structure of interest rates with stochastic volatility .

Product Details

ISBN-13:
9780792378426
Publisher:
Springer US
Publication date:
05/31/2000
Series:
Dynamic Modeling and Econometrics in Economics and Finance Series, #3
Edition description:
2000
Pages:
147
Product dimensions:
6.10(w) x 9.25(h) x 0.02(d)

Table of Contents

List of figures. List of tables. Preface. 1. Introduction. 2. Continuous time behavior of non linear ARCH models. 3. Continuous time shastic volatility option pricing: foundational issues. 4. Models of the term structure with shastic volatility. 5. Formulating, solving and estimating models of the term structure using ARCH models as diffusion approximations. References. Index.

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