Wentworth
Institute of Technology
Stochastic volatility : selected readings /
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which...
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| Other Authors: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Oxford ; New York :
Oxford University Press,
2005.
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| Series: | Advanced texts in econometrics.
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| Subjects: | |
| Online Access: |
Full text (Wentworth users only) |
| Local Note: | ProQuest Ebook Central |
| Summary: | Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P. |
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| Physical Description: | 1 online resource (viii, 525 pages) : illustrations |
| Format: | Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |
| Bibliography: | Includes bibliographical references and indexes. |
| ISBN: | 9781429469364 1429469366 9780191531422 0191531421 1280845767 9781280845765 |
| Language: | English. |
| Reproduction Note: | Electronic reproduction. |
| Source of Description, Etc. Note: | Print version record. |
| Action Note: | digitized |