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007    cr cnu---unuuu 
008    080310s1996    caua    ob    001 0 eng d 
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016 7  0125982755|2Uk 
016 7  017548667|2Uk 
019    646827655|a820028395|a1010544745|a1281712800 
020    9780125982757|q(electronic bk.) 
020    0125982755|q(electronic bk.) 
020    9780080511870|q(electronic bk.) 
020    0080511872|q(electronic bk.) 
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049    INap 
082 04 332.63/222 
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099    eBook O’Reilly for Public Libraries 
245 00 Modelling stock market volatility :|bbridging the gap to 
       continuous time /|cedited by Peter E. Rossi.|h[O'Reilly 
       electronic resource] 
260    San Diego :|bAcademic Press,|c©1996. 
300    1 online resource (xviii, 485 pages) :|billustrations 
336    text|btxt|2rdacontent 
337    computer|bc|2rdamedia 
338    online resource|bcr|2rdacarrier 
504    Includes bibliographical references and index. 
505 0  Modelling Stock Market Volatility Changes -- Stationarity 
       and Persistence in the GARCH(I, I) Model -- Conditional 
       Heteroskedasticity in Asset Returns: A New Approach -- 
       Good News, Bad News, Volatility, and Betas -- ARCH Models 
       as Diffusion Approximations -- Filtering and Forecasting 
       with Misspecified ARCH Models I: Getting the Right 
       Variance with the Wrong Model -- Filtering and Forecasting
       with Misspecified ARCH Models II: Making the Right 
       Forecast with the Wrong Model -- Asymptotic Filtering 
       Theory for Univariate ARCH Models -- Asymptotic Filtering 
       Theory for Multivariate ARCH Models -- Continuous Record 
       Asymptotics for Rolling Sample Variance Estimators -- 
       Estimating Diffusion Models of Stochastic Volatility -- 
       Specification Analysis of Continuous Time Models in 
       Finance -- Back to the Future: Generating Moment 
       Implications for Continuous-Time Markov Processes -- 
       Nonparametric Pricing of Interest Rate Derivative 
       Securities -- Index. 
520    This essay collection focuses on the relationship between 
       continuous time models and Autoregressive Conditionally 
       Heteroskedastic (ARCH) models and applications. For the 
       first time, Modelling Stock Market Volatility provides new
       insights about the links between these two models and new 
       work on practical estimation methods for continuous time 
       models. Featuring the pioneering scholarship of Daniel 
       Nelson, the text presents research about the discrete time
       model, continuous time limits and optimal filtering of 
       ARCH models, and the specification and estimation of 
       continuous time processes. This work will lead to a rapid 
       growth in their empirical application as they are 
       increasingly subjected to routine specification testing. 
       Key Features * Provides for the first time new insights on
       the links between continuous time and ARCH models * 
       Collects seminal scholarship by some of the most renowned 
       researchers in finance and econometrics * Captures complex
       arguments underlying the approximation and proper 
       statistical modelling of continuous time volatility 
       dynamics. 
588 0  Print version record. 
590    O'Reilly|bO'Reilly Online Learning: Academic/Public 
       Library Edition 
650  0 Stocks|xPrices|xMathematical models. 
650  6 Actions (Titres de société)|xPrix|xModèles mathématiques. 
650  7 Stocks|xPrices|xMathematical models|2fast 
650 17 Effectenbeurzen.|2gtt 
650 17 Wiskundige modellen.|2gtt 
700 1  Rossi, Peter E.|q(Peter Eric),|d1955- 
776 08 |iPrint version:|tModelling stock market volatility.|dSan 
       Diego : Academic Press, ©1996|z9780125982757|w(DLC)   
       96026267|w(OCoLC)34965866 
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
       learning.oreilly.com/library/view/~/9780125982757/?ar
       |zAvailable on O'Reilly for Public Libraries 
938    ProQuest Ebook Central|bEBLB|nEBL453120 
938    ebrary|bEBRY|nebr10329507 
938    EBSCOhost|bEBSC|n297148 
938    Internet Archive|bINAR|nmodellingstockma0000unse 
938    YBP Library Services|bYANK|n3101656 
994    92|bJFN