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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Empirical Studies on Volatility in International Stock Markets

Empirical Studies on Volatility in International Stock Markets

Hol, Eugenie M. J. H.

Hardcover

Series: Dynamic Modeling and Econometrics in Economics and Finance, Book 6

EconomicsInvesting & Finance

ISBN10: 1402075197
ISBN13: 9781402075193
Publisher: Springer Nature
Published: Jul 31 2003
Pages: 161
Weight: 0.92
Height: 0.60 Width: 7.12 Depth: 9.20
Language: English
Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures.

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