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Fabio Fornari, Antonio Mele

Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Dynamic Modeling and Econometrics in Economics and Finance)

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ISBN: 0792378423
Издательство: Kluwer Academic Publishers
It is well known that the volatility of financial returns is subject to continuous and persistent changes. Accordingly, many theoretical models have been built up to accommodate for the presence of such a feature. In this book, the authors emphasize the use of the popular ARCH models in formulating, estimating and testing the continuous time stochastic volatility models favored in the theoretical literature. The primary motivation of this research project is the result that although ARCH processes are stochastic difference equations, they can be thought of as reasonable approximations to the solutions of stochastic differential equations as the sampling frequency gets higher and higher. In this book, the authors make use of simulation based econometric methods and show how to test whether the approximation and filtering results for ARCH models are indeed valid. The statistical methodology used rests on the indirect inference principle, and is applied to a new class of fully...