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| 072 |
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7 |
|a MAT
|x 029040
|2 bisacsh
|
| 049 |
|
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|a HCDD
|
| 245 |
0 |
0 |
|a Stochastic volatility :
|b selected readings /
|c edited by Neil Shephard.
|
| 260 |
|
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|a Oxford ;
|a New York :
|b Oxford University Press,
|c 2005.
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| 300 |
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|a 1 online resource (viii, 525 pages) :
|b illustrations
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 347 |
|
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|a data file
|
| 490 |
1 |
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|a Advanced texts in econometrics
|
| 504 |
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|a Includes bibliographical references and indexes.
|
| 505 |
0 |
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|a Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard.
|
| 588 |
0 |
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|a Print version record.
|
| 506 |
|
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|3 Use copy
|f Restrictions unspecified
|2 star
|5 MiAaHDL
|
| 533 |
|
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|a Electronic reproduction.
|b [Place of publication not identified] :
|c HathiTrust Digital Library,
|d 2010.
|5 MiAaHDL
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| 538 |
|
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|a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
|u http://purl.oclc.org/DLF/benchrepro0212
|5 MiAaHDL
|
| 583 |
1 |
|
|a digitized
|c 2010
|h HathiTrust Digital Library
|l committed to preserve
|2 pda
|5 MiAaHDL
|
| 520 |
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|a Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P.
|
| 546 |
|
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|a English.
|
| 650 |
|
0 |
|a Stochastic processes.
|
| 650 |
|
0 |
|a Finance
|x Mathematical models.
|
| 650 |
|
0 |
|a Money market
|x Mathematical models.
|
| 650 |
|
0 |
|a Capital market
|x Mathematical models.
|
| 650 |
|
7 |
|a MATHEMATICS
|x Probability & Statistics
|x Stochastic Processes.
|2 bisacsh
|
| 650 |
|
7 |
|a Capital market
|x Mathematical models
|2 fast
|
| 650 |
|
7 |
|a Finance
|x Mathematical models
|2 fast
|
| 650 |
|
7 |
|a Money market
|x Mathematical models
|2 fast
|
| 650 |
|
7 |
|a Stochastic processes
|2 fast
|
| 650 |
1 |
7 |
|a Stochastische modellen.
|2 gtt
|
| 650 |
1 |
7 |
|a Beweeglijkheid.
|2 gtt
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| 650 |
1 |
7 |
|a Econometrische analyse.
|2 gtt
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| 650 |
1 |
7 |
|a Portfolio-theorie.
|2 gtt
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| 700 |
1 |
|
|a Shephard, Neil.
|
| 776 |
0 |
8 |
|i Print version:
|t Stochastic volatility.
|d Oxford ; New York : Oxford University Press, 2005
|z 0199257191
|z 9780199257195
|w (DLC) 2005299546
|w (OCoLC)59711776
|
| 830 |
|
0 |
|a Advanced texts in econometrics.
|
| 856 |
4 |
0 |
|u https://ebookcentral.proquest.com/lib/holycrosscollege-ebooks/detail.action?docID=422944
|y Click for online access
|
| 903 |
|
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|a EBC-AC
|
| 994 |
|
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|a 92
|b HCD
|