Empirical Studies on Volatility in International Stock Markets
Authors: Hol, Eugenie M.J.H.
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- About this book
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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)
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Introduction
Pages 1-6
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Asset Return Volatility Models
Pages 7-26
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The Stochastic Volatility in Mean Model: Empirical Evidence from International Stock Markets
Pages 27-47
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Forecasting with Volatility Models
Pages 49-61
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Implied Volatility
Pages 63-70
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Table of contents (8 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Empirical Studies on Volatility in International Stock Markets
- Authors
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- Eugenie M.J.H. Hol
- 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
