Empirical Studies on Volatility in International Stock Markets

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Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and ...

Empirical Studies on Volatility in International Stock Markets 2010, Springer-Verlag New York Inc., New York, NY

ISBN-13: 9781441953759

Trade paperback

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Empirical Studies on Volatility in International Stock Markets 2003, Springer, Dordrecht, Netherlands

ISBN-13: 9781402075193

2003 edition

Hardcover

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