Dynamic Modeling and Econometrics in Economics and Finance

Empirical Studies on Volatility in International Stock Markets

Authors: Hol, Eugenie M.J.H.

Buy this book

eBook $139.00
price for USA in USD (gross)
  • ISBN 978-1-4757-5129-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.99
price for USA in USD
  • ISBN 978-1-4020-7519-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.99
price for USA in USD
  • ISBN 978-1-4419-5375-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

Table of contents (8 chapters)

  • Introduction

    Hol, Eugenie M. J. H.

    Pages 1-6

  • Asset Return Volatility Models

    Hol, Eugenie M. J. H.

    Pages 7-26

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

    Hol, Eugenie M. J. H.

    Pages 27-47

  • Forecasting with Volatility Models

    Hol, Eugenie M. J. H.

    Pages 49-61

  • Implied Volatility

    Hol, Eugenie M. J. H.

    Pages 63-70

Buy this book

eBook $139.00
price for USA in USD (gross)
  • ISBN 978-1-4757-5129-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.99
price for USA in USD
  • ISBN 978-1-4020-7519-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.99
price for USA in USD
  • ISBN 978-1-4419-5375-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Empirical Studies on Volatility in International Stock Markets
Authors
Series Title
Dynamic Modeling and Econometrics in Economics and Finance
Series Volume
6
Copyright
2003
Publisher
Springer US
Copyright Holder
Springer Science+Business Media Dordrecht
eBook ISBN
978-1-4757-5129-1
DOI
10.1007/978-1-4757-5129-1
Hardcover ISBN
978-1-4020-7519-3
Softcover ISBN
978-1-4419-5375-9
Series ISSN
1566-0419
Edition Number
1
Number of Pages
XIV, 161
Topics