Stochastic Volatility in Financial Markets
Subtitle: Crossing the Bridge to Continuous Time (Dynamic Modeling and Econometrics in Economics and Finance)
Edition: 1 edition
Publisher: Springer
Published: May 31, 2000
Language: eng
Format: Hardcover
Number of pages: 168
ISBN-13: 9780792378426
Subjects: Investments & Securities - General; Econometrics; Stochastic analysis; Investment Finance; Mathematical Models In Economics; Business & Economics; Business / Economics / Finance; Business/Economics; General; Economics - General; Business & Economics / Econometrics; Business & Economics : Economics - General; Medical : General; Capital market; Econometric models; Finance
First sentence: Financial returns, albeit unpredictable according to the definition of Sims (1984), display both temporal dependency in their second order moments and heavy-peaked and tailed distributions.