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Könyv Modelling Nonlinearities in the German Stock Market Sophie Robe

Modelling Nonlinearities in the German Stock Market

Szerző: Sophie Robe
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: Peter Lang GmbH
Elérhetőség: Beszállítói készleten
Küldés 5-8 napon belül
28 645 Ft
Some fundamental changes in the financial markets reflect an evolution from the rational linear anal...

Információk a könyvről

Szerző
Sophie Robe
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
1999
oldal
177
EAN
9783631346181
ISBN
9783631346181
Enbook ID
10025125
Kiadó
Peter Lang GmbH
Súly
248
Méretek
209 x 151 x 11

Teljes leírás

Some fundamental changes in the financial markets reflect an evolution from the rational linear analytical approach of traditional finance to a quite new approach which incorporates nonlinearity as well as a new view into the dynamics of financial markets. Since the return and risk management models use the variance as a key variable for risk, and since the traditional normal model disregards the nonlinearities present in stock markets, the author has improved the fit of the volatility in the German equity market using nonlinear ARCH models. This work focuses on the behaviour of the German equity market, the significance of which is growing in the global financial market. The practical objective is to demonstrate how nonlinear features in stock market volatility can be incorporated in financial theory to improve the forecasting capabilities of financial models.

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