Skip to main content
SpringerLink
Log in
Book cover

Empirical Studies on Volatility in International Stock Markets

  • Book
  • © 2003

Overview

Authors:
  1. Eugenie M. J. H. Hol

    1. ING Group Credit Risk Management, Amsterdam, The Netherlands

    View author publications

    You can also search for this author in PubMed   Google Scholar

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

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (8 chapters)

  1. Front Matter

    Pages i-xiv
    Download chapter PDF

  2. Introduction

    • Eugenie M. J. H. Hol
    Pages 1-6

  3. Asset Return Volatility Models

    • Eugenie M. J. H. Hol
    Pages 7-26

  4. The Stochastic Volatility in Mean Model: Empirical Evidence from International Stock Markets

    • Eugenie M. J. H. Hol
    Pages 27-47

  5. Forecasting with Volatility Models

    • Eugenie M. J. H. Hol
    Pages 49-61

  6. Implied Volatility

    • Eugenie M. J. H. Hol
    Pages 63-70

  7. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

    • Eugenie M. J. H. Hol
    Pages 71-97

  8. Stock Index Volatility Forecasting with High Frequency Data

    • Eugenie M. J. H. Hol
    Pages 99-127

  9. Conclusions

    • Eugenie M. J. H. Hol
    Pages 129-134

  10. Back Matter

    Pages 135-161
    Download chapter PDF
Back to top

Keywords

About this book

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.

Authors and Affiliations

  • ING Group Credit Risk Management, Amsterdam, The Netherlands

    Eugenie M. J. H. Hol

Bibliographic Information

  • Book Title: Empirical Studies on Volatility in International Stock Markets

  • Authors: Eugenie M. J. H. Hol

  • Series Title: Dynamic Modeling and Econometrics in Economics and Finance

  • DOI: https://doi.org/10.1007/978-1-4757-5129-1

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media Dordrecht 2003

  • Hardcover ISBN: 978-1-4020-7519-3Published: 31 July 2003

  • Softcover ISBN: 978-1-4419-5375-9Published: 19 November 2010

  • eBook ISBN: 978-1-4757-5129-1Published: 09 March 2013

  • Series ISSN: 1566-0419

  • Series E-ISSN: 2363-8370

  • Edition Number: 1

  • Number of Pages: XIV, 161

  • Topics: Econometrics, International Economics

Publish with us

Policies and ethics

Back to top

Search

Navigation