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Modelling Stock Market Volatility
Modelling Stock Market Volatility
Author: Peter H. Rossi
This essay collection focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications. For the first time, Modelling Stock Market Volatility provides new insights about the links between these two models and new work on practical estimation methods for continuous t...  more »
ISBN-13: 9780125982757
ISBN-10: 0125982755
Publication Date: 1/15/1996
Pages: 485
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Publisher: Academic Press
Book Type: Hardcover
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