Volatility
Torben G. Andersen|Tim Bollerslev
ISBN 10: 1788110617 ISBN 13: 9781788110617
Editore: Edward Elgar Publishing, 2018
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Descrizione:
Volatility ranks among the most active and successful areas of research in econometrics and empirical asset pricing finance over the past three decades. Codice articolo 596889559
Riassunto:
Volatility ranks among the most active and successful areas of research in econometrics and empirical asset pricing finance over the past three decades. This research review studies and analyses some of the most influential published works from this burgeoning literature, both classic and contemporary. Topics covered include GARCH, stochastic and multivariate volatility models as well as forecasting, evaluation and high-frequency data. This insightful review presents and discusses the most important milestones and contributions that helped pave the way to today's understanding of volatility.
Informazioni sull?autore: Edited by Torben G. Andersen, Nathan S. and Mary P. Sharp Distinguished Professor of Finance, Kellogg School of Management, Northwestern University and Tim Bollerslev, Juanita and Clifton Kreps Distinguished Professor of Economics and Professor of Finance, Duke University, US
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Dati bibliografici
Titolo: Volatility
Casa editrice: Edward Elgar Publishing
Data di pubblicazione: 2018
Legatura: Rilegato
Condizione: New