Stochastic Volatility Image close
Stochastic Volatility
Stochastic Volatility
Show Hide Adult Content
Stochastic Volatility close

Business & Economics Books:

Home  
Books  
Business & Economics  
Economics  
Macroeconomics  
Monetary economics

Stochastic Volatility

Selected Readings
Click to share your rating 0 ratings (0.0/5.0 average) Thanks for your vote!

Format:

Paperback / softback
$237.00
Available from supplier

The item is brand new and in-stock with one of our preferred suppliers. The item will ship from a Mighty Ape warehouse within the timeframe shown.

Usually ships in 3-4 weeks
0 in Trolley
Free Delivery with Primate
Join Now

Free 14 day free trial, cancel anytime.

Buy Now, Pay Later with:

4 payments of $59.25 with Afterpay Learn more

6 weekly interest-free payments of $39.50 with Laybuy Learn more

Availability

Delivering to:

Estimated arrival:

  • Around 6-18 June using International Courier

Explore more Advanced Texts in Econometrics

See all products in this series

The Econometrics of Macroeconomic Modelling by Gunnar Bardsen
$221.00
The Econometrics of Macroeconomic Modelling
by Gunnar Bardsen ~ Paperback / softback
Available - Usually ships in 3-4 weeks
The Econometrics of Macroeconomic Modelling on Hardback by Gunnar Bardsen
$558.00
The Econometrics of Macroeconomic Modelling
by Gunnar Bardsen ~ Hardback
Available - Usually ships in 3-4 weeks
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models by Soren Johansen
$257.00
Likelihood-Based Inference in Cointegrated Vector Autoregressive...
by Soren Johansen ~ Paperback / softback
Available - Usually ships in 3-4 weeks
The Cointegrated VAR Model by Katarina Juselius
$257.00
The Cointegrated VAR Model
by Katarina Juselius ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Workbook on Cointegration on Hardback by Peter Reinhard Hansen
$525.00
Workbook on Cointegration
by Peter Reinhard Hansen ~ Hardback
Available - Usually ships in 3-4 weeks
Modelling Non-Linear Economic Relationships by Clive W.J. Granger
$215.00
Modelling Non-Linear Economic Relationships
by Clive W.J. Granger ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Periodic Time Series Models by Philip Hans Franses
$229.00
Periodic Time Series Models
by Philip Hans Franses ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Volatility and Time Series Econometrics on Hardback
$507.00
Volatility and Time Series Econometrics
Hardback
Available - Usually ships in 3-4 weeks
Long-Run Economic Relationships
$303.00
Long-Run Economic Relationships
Paperback / softback
Available - Usually ships in 3-4 weeks
Periodicity and Stochastic Trends in Economic Time Series by Philip Hans Franses
$204.00
Periodicity and Stochastic Trends in Economic Time Series
by Philip Hans Franses ~ Paperback / softback
Available - Usually ships in 3-4 weeks
ARCH: Selected Readings
$220.00
ARCH: Selected Readings
Paperback / softback
Available - Usually ships in 3-4 weeks
Bayesian Inference in Dynamic Econometric Models by Luc Bauwens
$246.00
Bayesian Inference in Dynamic Econometric Models
by Luc Bauwens ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Modelling Nonlinear Economic Time Series by Dag Tjostheim
$225.00
Modelling Nonlinear Economic Time Series
by Dag Tjostheim ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Periodic Time Series Models on Hardback by Philip Hans Franses
$510.00
Periodic Time Series Models
by Philip Hans Franses ~ Hardback
Available - Usually ships in 3-4 weeks
Workbook on Cointegration by Peter Reinhard Hansen
$204.00
Workbook on Cointegration
by Peter Reinhard Hansen ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Modelling Nonlinear Economic Time Series on Hardback by Dag Tjostheim
$523.00
Modelling Nonlinear Economic Time Series
by Dag Tjostheim ~ Hardback
Available - Usually ships in 3-4 weeks

Description

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

Author Biography:

Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.
Release date NZ
March 10th, 2005
Audience
  • Professional & Vocational
Contributor
  • Edited by Neil Shephard
Illustrations
numerous figures and tables
Pages
536
Dimensions
156x234x28
ISBN-13
9780199257201
Product ID
2839258

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Recommended for you

Recommended from your browsing history

Help & options

Filed under...

Books >
Business & Economics >
Economics >
Macroeconomics >
Monetary economics
Books >
Business & Economics >
Economics >
International economics
Books >
Business & Economics >
Industry Studies >
Service industries
Books >
Business & Economics >
Industry Studies >
Service industries >
Financial services industry
Books >
Business & Economics >
Economics >
Financial crises & disasters