Modeling Volatility in Financial Time Series

by Boer, Jesper
Condition: New
$66.49
VAT included - FREE Shipping
Boer, Jesper Modeling Volatility in Financial Time Series
Boer, Jesper - Modeling Volatility in Financial Time Series

Do you like this product? Spread the word!

$66.49 incl. VAT
Only 1 items available Only 1 items available More than 10 pieces available
Delivery: between Tuesday, July 5, 2022 and Thursday, July 7, 2022
Sales & Shipping: Dodax

Description

Volatility is one of the biggest topics in finance today. It is the most important measure of risk and plays a crucial role in the valuation of derivatives. Volatility estimations are therefore essential in most financial decisions. However, it has been proven extremely difficult to model and forecast the volatility one witnesses in time series. This book compares two volatility models, their properties and their performances. The models compared are the GARCH model and the Markov Switching Multifractal model, two models that rely on completely different assumptions. This book assesses how both models perform in replicating financial time series. The model parameters are estimated on historical returns and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The analysis done shows some unexpected conclusions and promising leads for further research. This book provides a step by step manual on how to estimate various volatility models and how resulting estimates can be used for derivative pricing. This is extremely valuable for practitioners and others interested in modeling volatility in financial markets.

Contributors

Author:
Boer, Jesper

Further information

Biography Artist:
Jesper Roelof Boer, 28-03-1987. Studied: BSc and MSc Econometrics and Management Science; Quantitative Finance, at Erasmus University Rotterdam. MSc Research in Political Science, at Universidad Pompeu Fabra, Barcelona. Current positions: Associate professor, Research Assistant and PhD student in Political Sciences, at Universidad Pompeu Fabra.
Language:
English
Edition:
1/2010
Number of Pages:
88
Media Type:
Softcover
Publisher:
LAP Lambert Academic Publishing

Master Data

Product Type:
Paperback book
Package Dimensions:
0.22 x 0.15 x 0.005 m; 0.177 kg
GTIN:
09783843362061
DUIN:
ESON7TCC9DS
$66.49
We use cookies on our website to make our services more efficient and more user-friendly. Therefore please select "Accept cookies"! Please read our Privacy Policy for further information.