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Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics)

文件格式:Pdf 可复制性:可复制 TAG标签: Advanced econometrics Volatility Readings Selected 点击次数: 更新时间:2009-09-28 16:48
介绍

Neil Shephard , "Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics)"
Oxford University Press, USA (May 13, 2005) | ISBN:0199257205 | 534 pages | PDF | 2,4 Mb
Contents of Stochastic Volatility Selected Readings
1. Introduction, Neil Shephard

2. A Subordinated Stochastic Process Model with Fixed Variance for Speculative Prices, P. K. Clark

3. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices 1961-79, S. J. Taylor

4. The Price Variability-Volume Relationship on Speculative Markets, G. Tauchen and M. Pitts

5. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White

6. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove

7. Pricing Foreign Currency Options with Stochastic Volatility, A. Melino and S. M. Turnbull

8. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options, S. L. Heston

9. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling, T. G. Andersen

10. Multivariate Stochastic Variance Models, A. C. Harvey, E. Ruiz, and N. Shephard

11. Bayesian Analysis of Stochastic Volatility Models (with Discussion), E. Jacquier, N. G. Polson, and P. E. Rossi

12. Estimation of Stochastic Volatility Models with Diagnostics, A. R. Gallant, D. Hsieh, and G. Tauchen

13. Estimating Continuous-Time Stochastic Volatility Models of the Short Term Interest Rate, T. G. Andersen and J. Lund

14. On the Detection and Estimation of Long Memory in Stochastic Volatility, F. J. Breidt, N. Crato, and P. de Lima

15. Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of their Uses in Financial Economics (with Discussion), O. E. Barndorff-Nielsen and N. Shephard

16. The Distribution of Exchange Rate Volatility, T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys
 

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