Financial market volatility plays a crucial role in financial decision making, as volatility forecasts are important input parameters in areas such as option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. The fact that financial innovations arrive at an ever-increasing rate has motivated both academic researchers and practitioners and advances in this field have been considerable. The use of Stochastic Volatility (SV) models is one of the latest developments in this area. Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.

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zlib/Medicine/Eugenie M. J. H. Hol (auth.)/Empirical Studies on Volatility in International Stock Markets_2250552.pdf

Hol, Eugenie M.J.H.

Springer-Science+Business Media, B.V

Springer London, Limited

Springer Nature

Dynamic modeling and econometrics in economics and finance, 6, Boston, MA, 2003

Dynamic modeling and econometrics in economics and finance, Dordrecht, 2010

Softcover reprint of hardcover 1st ed. 2003, 2010

United States, United States of America

Springer Nature, New York, NY, 2013

December 28, 2009

1, 20130309

sm43003261

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Front Matter....Pages i-xiv
Introduction....Pages 1-6
Asset Return Volatility Models....Pages 7-26
The Stochastic Volatility in Mean Model: Empirical Evidence from International Stock Markets....Pages 27-47
Forecasting with Volatility Models....Pages 49-61
Implied Volatility....Pages 63-70
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility....Pages 71-97
Stock Index Volatility Forecasting with High Frequency Data....Pages 99-127
Conclusions....Pages 129-134
Back Matter....Pages 135-161

Dynamic Modeling and Econometrics in Economics and Finance
Erscheinungsdatum: 19.11.2010

2013-12-12