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Empirical Studies on Volatility in International Stock Markets

  • Eugenie M. J. H. Hol
Book

Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 6)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Eugenie M. J. H. Hol
    Pages 1-6
  3. Eugenie M. J. H. Hol
    Pages 7-26
  4. Eugenie M. J. H. Hol
    Pages 49-61
  5. Eugenie M. J. H. Hol
    Pages 63-70
  6. Eugenie M. J. H. Hol
    Pages 129-134
  7. Back Matter
    Pages 135-161

About this book

Introduction

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 accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

Keywords

GARCH Option Pricing Portfolio Volatility decision making development hedging modeling value at risk value-at-risk

Authors and affiliations

  • Eugenie M. J. H. Hol
    • 1
  1. 1.ING Group Credit Risk ManagementAmsterdamThe Netherlands

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4757-5129-1
  • Copyright Information Springer-Verlag US 2003
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4419-5375-9
  • Online ISBN 978-1-4757-5129-1
  • Series Print ISSN 1566-0419
  • Buy this book on publisher's site
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Finance, Business & Banking