Stochastic Volatility by Neil Shephard
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved.-
Non-Stationary Time Series Analysis and Cointegration
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Dynamic Econometrics
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The Cointegrated VAR Model
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Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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Generalized Method of Moments
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Periodic Time Series Models
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ARCH: Selected Readings
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Modelling Nonlinear Economic Time Series
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Finite Sample Econometrics
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Modelling Economic Series
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Bayesian Inference in Dynamic Econometric Models
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Micro-Econometrics for Policy, Program and Treatment Effects
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Panel Data Econometrics
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Periodicity and Stochastic Trends in Economic Time Series
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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Testing Exogeneity
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Long-Run Economic Relationships
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Workbook on Cointegration
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Modelling Seasonality
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Readings in Unobserved Components Models
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The Econometrics of Macroeconomic Modelling
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Time-Series-Based Econometrics
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Modelling Non-Linear Economic Relationships
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Stochastic Limit Theory
This volume represents an invaluable surveyon the state-of-the-art of SV modelling in financeQuite simply, this volume is a must-have for anyone dealing with volatility modelling Giuseppe Cavaliere, The Economic Journal
Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.
| SKU | Unavailable |
| ISBN 13 | 9780199257201 |
| ISBN 10 | 0199257205 |
| Title | Stochastic Volatility |
| Author | Neil Shephard |
| Series | Advanced Texts In Econometrics |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Oxford University Press |
| Year published | 2005-03-10 |
| Number of pages | 536 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |