Modelling financial time series
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789812770844
Date de publication :
2 janv. 2008
Langue :
Anglais
Pays d'origine :
Singapour
Contains innovative models for the prices of financial assets. This volume presents ARCH and stochastic volatility models that are used and cited in academic research and are applied by quantitative analysts in many banks. It also takes into account the progress made by empirical researchers from 1986 to 2006.