Empirical Studies on Volatility in International Stock Markets
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 devel
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Dynamic Modeling and Econometrics in Economics and Finance VOLUME6
Series Editors
Stefan Mittnik, University of Kiel, Germany Willi Semmler, University of Bielefeld, Germany and New School for Social Research, U.S.A.
Aims and Scope The series will place particular focus on monographs, surveys, edited volumes, conference proceedings and handbooks on: • Nonlinear dynamic phenomena in economics and finance, including equilibrium, disequilibrium, optimizing and adaptive evolutionary points of view; nonlinear and complex dynamics in microeconomics, finance, macroeconomics and applied fields of economics. • Econometric and statistical methods for analysis of nonlinear processes in economics and finance, including computational methods, numerical tools and software to study nonlinear dependence, asymmetries, persistence of fluctuations, multiple equilibria, chaotic and bifurcation phenomena. • Applications linking theory and empirical analysis in areas such as macrodynarnics, microdynamics, asset pricing, financial analysis and portfolio analysis, international economics, resource dynamics and environment, industrial organization and dynamics of technical change, labor economics, demographics, population dynamics, and game theory. The target audience of this series includes researchers at universities and research and policy institutions, students at graduate institutions, and practitioners in economics, finance and international economics in private or government institutions.
Empirical Studies on Volatility in International Stock Markets by
Eugenie M.J.H. Hol lNG Group Credit Risk Management, Amsterdam, The Netherlands
SPRINGER-SCIENCE+BUSINESS MEDIA, B.V
A C.I.P. Catalogue record for this book is available from the Library of Congress.
ISBN 978-1-4419-5375-9 ISBN 978-1-4757-5129-1 (eBook) DOI 10.1007/978-1-4757-5129-1
Primed on acid-free paper
All Rights Reserved © 2003 Springer Science+ Business Media Dordrecht Originally published by Kluwer Academic Publishers in 2003 Softcover reprint of the hardcover I st edition 2003 No part of this work may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, microfilming, recording or otherwise, without written permission from the Publisher, with the exception of any material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work.
Well, I don’t think getting to the top is all that important. You can always have another go. The things you remember after a trip are not standing on the summit but what went on while you were on the route.
Mo Anthoine mountaineer
Contents
List of Figures List of Tables
xi xiv
1. Introduction
1
2. Asset Return Volatility Models
7
2.1
Empirical Stylised Facts of Stock Index Return Series
2.2
Time-Varying Volatility Models 2.2.1 GARCH Models 2.2.2 SV Models
2.3
Empirical Models
Applications
of
Time-Varying
8 12 13 16
Volatility 19
3. The Stochastic Volatility in Me
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