001463414 000__ 04514cam\a22006377i\4500
001463414 001__ 1463414
001463414 003__ OCoLC
001463414 005__ 20230601003319.0
001463414 006__ m\\\\\o\\d\\\\\\\\
001463414 007__ cr\cn\nnnunnun
001463414 008__ 230425s2023\\\\si\a\\\\ob\\\\000\0\eng\d
001463414 019__ $$a1376730191$$a1379670144
001463414 020__ $$a9789819909353$$qelectronic book
001463414 020__ $$a981990935X$$qelectronic book
001463414 020__ $$z9789819909346
001463414 020__ $$z9819909341
001463414 0247_ $$a10.1007/978-981-99-0935-3$$2doi
001463414 035__ $$aSP(OCoLC)1377285263
001463414 040__ $$aGW5XE$$beng$$erda$$epn$$cGW5XE$$dYDX
001463414 049__ $$aISEA
001463414 050_4 $$aHG4515.2$$b.T35 2023
001463414 08204 $$a332.632220151922$$223/eng/20230425
001463414 1001_ $$aTakahashi, Makoto,$$eauthor.
001463414 24510 $$aStochastic volatility and realized stochastic volatility models /$$cMakoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe.
001463414 264_1 $$aSingapore :$$bSpringer,$$c2023.
001463414 300__ $$a1 online resource (viii, 113 pages) :$$billustrations (some color).
001463414 336__ $$atext$$btxt$$2rdacontent
001463414 337__ $$acomputer$$bc$$2rdamedia
001463414 338__ $$aonline resource$$bcr$$2rdacarrier
001463414 4901_ $$aJSS research series in statistics,$$x2364-0065
001463414 504__ $$aIncludes bibliographical references.
001463414 5050_ $$a1 Introduction -- 2 Stochastic Volatility Model -- 3 Asymmetric Stochastic Volatility Model -- 4 Stochastic Volatility Model with Generalized Hyperbolic Skew Student's t Error -- 5 Realized Stochastic Volatility Model.
001463414 506__ $$aAccess limited to authorized users.
001463414 520__ $$aThis treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management.
001463414 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed April 25, 2023).
001463414 650_0 $$aSecurities$$xMathematical models.
001463414 650_0 $$aStochastic models.
001463414 655_0 $$aElectronic books.
001463414 7001_ $$aOmori, Yasuhiro,$$eauthor.
001463414 7001_ $$aWatanabe, Toshiaki,$$eauthor.
001463414 77608 $$iPrint version: $$z9819909341$$z9789819909346$$w(OCoLC)1369600373
001463414 830_0 $$aSpringerBriefs in statistics.$$pJSS research series in statistics.$$x2364-0065
001463414 852__ $$bebk
001463414 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-981-99-0935-3$$zOnline Access$$91397441.1
001463414 909CO $$ooai:library.usi.edu:1463414$$pGLOBAL_SET
001463414 980__ $$aBIB
001463414 980__ $$aEBOOK
001463414 982__ $$aEbook
001463414 983__ $$aOnline
001463414 994__ $$a92$$bISE