This book contains several innovative models for the prices of Financial assets.
Another often-cited contribution of the first edition is the documentation of statistical characteristics of Financial returns, which are referred to as stylized facts.
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It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks.
First published in 1986, it is a classic text in the area of Financial econometrics.
This book contains several innovative models for the prices of Financial assets