Empirical Studies on Volatility in International Stock Markets [electronic resource] /

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.

Bibliographic Details

Main Authors:	Hol, Eugenie M. J. H. author., SpringerLink (Online service)
Format:	Texto biblioteca
Language:	eng
Published:	Boston, MA : Springer US : Imprint: Springer, 2003
Subjects:	Econometrics., International economics., Economics., International Economics.,
Online Access:	http://dx.doi.org/10.1007/978-1-4757-5129-1
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