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Neil Shephard , "Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics)"
Oxford University Press, USA (May 13, 2005) | ISBN:0199257205 | 534 pages | PDF | 2,4 Mb
Contents of Stochastic Volatility Selected Readings |
1. Introduction, Neil Shephard
2. A Subordinated Stochastic Process Model with Fixed Variance for Speculative Prices, P. K. Clark
3. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices 1961-79, S. J. Taylor
4. The Price Variability-Volume Relationship on Speculative Markets, G. Tauchen and M. Pitts
5. The Pricing of Options on Assets with Stochastic Volatilities, J. Hull and A. White
6. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, F. X. Diebold and M. Nerlove
7. Pricing Foreign Currency Options with Stochastic Volatility, A. Melino and S. M. Turnbull
8. A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options, S. L. Heston
9. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling, T. G. Andersen
10. Multivariate Stochastic Variance Models, A. C. Harvey, E. Ruiz, and N. Shephard
11. Bayesian Analysis of Stochastic Volatility Models (with Discussion), E. Jacquier, N. G. Polson, and P. E. Rossi
12. Estimation of Stochastic Volatility Models with Diagnostics, A. R. Gallant, D. Hsieh, and G. Tauchen
13. Estimating Continuous-Time Stochastic Volatility Models of the Short Term Interest Rate, T. G. Andersen and J. Lund
14. On the Detection and Estimation of Long Memory in Stochastic Volatility, F. J. Breidt, N. Crato, and P. de Lima
15. Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of their Uses in Financial Economics (with Discussion), O. E. Barndorff-Nielsen and N. Shephard
16. The Distribution of Exchange Rate Volatility, T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys
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