| 書目名稱 | Econometric Modelling of Stock Market Intraday Activity | | 編輯 | Luc Bauwens,Pierre Giot | | 視頻video | http://file.papertrans.cn/302/301450/301450.mp4 | | 叢書名稱 | Advanced Studies in Theoretical and Applied Econometrics | | 圖書封面 |  | | 描述 | Over the past 25 years, applied econometrics has undergone tremen- dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen- eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro- duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more part | | 出版日期 | Book 2001 | | 關(guān)鍵詞 | Finance; Options; Volatility; econometrics; modeling; paraplupub | | 版次 | 1 | | doi | https://doi.org/10.1007/978-1-4757-3381-5 | | isbn_softcover | 978-1-4419-4906-6 | | isbn_ebook | 978-1-4757-3381-5Series ISSN 1570-5811 Series E-ISSN 2214-7977 | | issn_series | 1570-5811 | | copyright | Springer-Verlag US 2001 |
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