Modelling Volatility
Book
Hardback
192 pages
978-1-4039-0206-1 (ISBN)
Description
Volatility is an inherent feature of economic data, especially financial time series as recent changes in stock prices bear witness. Students, academics and professional economists alike should benefit from the practical orientation and applied nature of this book. Jan Podivinsky provides a comprehensive and authoritative overview of the models and methods used to analyse volatility in time series data and illustrates practical issues using econometric software.
More details
Series
Language
English
Place of publication
Gordonsville
United States
Publishing group
Palgrave USA
Target group
College/higher education
Professional and scholarly
Dimensions
Height: 216 mm
Width: 138 mm
ISBN-13
978-1-4039-0206-1 (9781403902061)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Person
JAN PODIVINSKY is Lecturer in Econometrics at the University of Southampton, UK. His research interests include Time Series Econometrics, Computational Econometrics and Financial Volatility.
Content
An Introduction to Volatility - Autoregressive Conditional Heteroskedasticity (ARCH) - Generalised ARCH (GARCH) Models - Nonlinear and Other Models of Volatility - Stochastic Volatility - Practical Issues in Volatility Estimation, Testing and Forecasting - Conclusions - Appendix A: Mathematics and Statistics - Appendix B: Software