Modelling Nonlinearities in the German Stock Market
by
Sophie Robe
Book Details
Format
Paperback / Softback
Book Series
European University Studies
ISBN-10
3631346182
ISBN-13
9783631346181
Publisher
Peter Lang GmbH
Imprint
Peter Lang GmbH
Country of Manufacture
GB
Country of Publication
GB
Publication Date
May 1st, 1999
Print length
177 Pages
Weight
248 grams
Dimensions
15.10 x 20.90 x 1.10 cms
Product Classification:
Investment & securitiesInvestment and securities
Ksh 8,100.00
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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.
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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