Modelling Stock Market Volatility: Bridging the Gap to Continuous Time
Peter H. Rossi | 1996-01-01 00:00:00 | Academic Press | 485 | Finances and Money
"Finance applications have led to a rebirth of interest in continuous time econometric modelling. This volume stresses the achievements of Dan Nelson and includes important contributions."
--PETER M. ROBINSON, London School of Economics
"This volume contains some important contributions to a young but burgeoning literature and is a worthy tribute to Dan Nelson's research. Continuous-time econometrics has finally arrived!"
--ANDREW W. LO, Harris & Harris Group Professor, MIT Sloan School of Management, Cambridge, Massachusetts.
"This volume provides much practical guidance for implementing continuous-time models using real-world data, recorded in discrete time. The articles offer methods and insignts relevant to modelling and estimating volatility in the stock market as well as other financial markets, such as fixed income and foreign exchange."
--ROBERT F. STAMBAUGH, University of Pennsylvania
"This collection of path-breaking papers contains useful insights for a range of readers. For financial economists and others interested in modelling the behavior of volatility over time, Daniel Nelson's important work on exponential ARCH, EGARCH, conditional betas, and rolling estimators is here. For financial engineers and others who wish to apply these models to the pricing of derivative securities, the papers in this volume forge important links between the continuous time theoretical models and the discrete time empirical models used to estimate the crucial volatility process."
--WAYNE E. FERSON, University of Washington
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