Can I read Empirical Studies on Volatility in International Stock Markets (Dynamic Modeling and Econometrics in Economics and Finance, 6) on EtoBox?

Empirical Studies on Volatility in International Stock Markets (Dynamic Modeling and Econometrics in Economics and Finance, 6) by Eugenie M. J. H. Hol (auth.) is a nonfiction available to read on EtoBox.

What is Empirical Studies on Volatility in International Stock Markets (Dynamic Modeling and Econometrics in Economics and Finance, 6) about?

Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models is one of the latest developments in this area. 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 so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more

Who reads Empirical Studies on Volatility in International Stock Markets (Dynamic Modeling and Econometrics in Economics and Finance, 6)?

Author

Eugenie M. J. H. Hol (auth.)

Publisher

Springer US

Published

2003

Language

EN

ISBN

9781475751291

Category

nonfiction

Subjects

Business, Economics, Medical