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© 2000

Stochastic Volatility in Financial Markets

Crossing the Bridge to Continuous Time

Book

Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 3)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Fabio Fornari, Antonio Mele
    Pages 1-30
  3. Fabio Fornari, Antonio Mele
    Pages 31-55
  4. Fabio Fornari, Antonio Mele
    Pages 81-97
  5. Back Matter
    Pages 129-147

About this book

Introduction

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

Keywords

Finance asset pricing econometrics financial markets option pricing volatility

Authors and affiliations

  1. 1.Bank of ItalyItaly
  2. 2.Université du LittoralFrance
  3. 3.THEMAUniversité de Paris XFrance

Bibliographic information

  • Book Title Stochastic Volatility in Financial Markets
  • Book Subtitle Crossing the Bridge to Continuous Time
  • Authors Antonio Mele
    Fabio Fornari
  • Series Title Dynamic Modeling and Econometrics in Economics and Finance
  • DOI https://doi.org/10.1007/978-1-4615-4533-0
  • Copyright Information Kluwer Academic Publisher 2000
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-0-7923-7842-6
  • Softcover ISBN 978-1-4613-7045-1
  • eBook ISBN 978-1-4615-4533-0
  • Series ISSN 1566-0419
  • Edition Number 1
  • Number of Pages XV, 147
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Econometrics
    Finance, general
    Economic Theory/Quantitative Economics/Mathematical Methods
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking