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20240829121034.0 |
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070521s2005 enka ob 001 0 eng d |
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2005299546 |
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eng |
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| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781429469364 |
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(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
1429469366 |
| Qualifying information |
(electronic bk.) |
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| International Standard Book Number |
9780191531422 |
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(electronic bk.) |
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0191531421 |
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0199257205 |
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(Paper) |
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0199257191 |
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9780199257195 |
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9780199257201 |
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(pbk.) |
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9786610845767 |
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661084576X |
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191268 |
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(OCoLC)132690934 |
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(OCoLC)154805281 |
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| 037 ## - SOURCE OF ACQUISITION |
|---|
| Stock number |
084576 |
| Source of stock number/acquisition |
MIL |
| 037 ## - SOURCE OF ACQUISITION |
|---|
| Source of stock number/acquisition |
CRKN/MyiLibrary |
| Terms of availability |
CostDepend |
| Form of issue |
FormOnline |
| Additional format characteristics |
AccessRestricted |
| Note |
GovNo |
| 042 ## - AUTHENTICATION CODE |
|---|
| Authentication code |
dlr |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA274 |
| Item number |
.S824 2005eb |
| 055 13 - CLASSIFICATION NUMBERS ASSIGNED IN CANADA |
|---|
| Classification number |
QA274 |
| Item number |
.S824 2005eb |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
MAT |
| Subject category code subdivision |
029040 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519.2/3 |
| Edition number |
22 |
| 084 ## - OTHER CLASSIFICATION NUMBER |
|---|
| Classification number |
85.03 |
| Number source |
bcl |
| 084 ## - OTHER CLASSIFICATION NUMBER |
|---|
| Classification number |
85.33 |
| Number source |
bcl |
| 049 ## - LOCAL HOLDINGS (OCLC) |
|---|
| Holding library |
MAIN |
| 245 00 - TITLE STATEMENT |
|---|
| Title |
Stochastic volatility : |
| Remainder of title |
selected readings / |
| Statement of responsibility, etc. |
edited by Neil Shephard. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc. |
Oxford ; |
| -- |
New York : |
| Name of publisher, distributor, etc. |
Oxford University Press, |
| Date of publication, distribution, etc. |
2005. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
1 online resource (viii, 525 pages) : |
| Other physical details |
illustrations. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Advanced texts in econometrics |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and indexes. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Part I. Model building -- 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / Peter K. Clark -- 2. Financial Returns Modelled by the Product of Two Stochastic Processes : A Study of Daily Sugar Prices, 1961-79 / Stephen J. Taylor -- 3. The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices / Barr Rosenberg -- 4. The Pricing of Options on Assets with Stochastic Volatilities / John Hull and Alan White -- 5. The Dynamics of Exchange Rate Volatility : A Multivariate Latent Factor Arch Model / Francis X. Diebold and Marc Nerlove -- 6. Multivariate Stochastic Variance Models / Andrew Harvey, Esther Ruiz and Neil Shephard -- 7. Stochastic Autoregressive Volatility : A Framework for Volatility Modeling / Torben G. Andersen -- 8. Long Memory in Continuous-time Stochastic Volatility Models / Fabienne Comte and Eric Renault -- Part II. Inference -- 9. Bayesian Analysis of Stochastic Volatility Models / Eric Jacquier, Nicholas G. Polson and Peter E. Rossi -- 10. Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / Sangjoon Kim, Neil Shephard and Siddhartha Chib -- 11. Estimation of Stochastic Volatility Models with Diagnostics / A. Ronald Gallant, David Hsieh and George Tauchen -- Part III. Option pricing -- 12. Pricing Foreign Currency Options with Stochastic Volatility / Angelo Melino and Stuart M. Turnbull -- 13. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / Steven L. Heston -- 14. A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation / Mikhail Chernov and Eric Ghysels -- Part IV. Realised variation -- 15. The Distribution of Realized Exchange Rate Volatility / Torben G. Andersen [and others] -- 16. Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / Ole E. Barndorff-Nielsen and Neil Shephard. |
| 588 0# - SOURCE OF DESCRIPTION NOTE |
|---|
| Source of description note |
Print version record. |
| 506 ## - RESTRICTIONS ON ACCESS NOTE |
|---|
| Materials specified |
Use copy |
| Standardized terminology for access restriction |
Restrictions unspecified |
| Source of term |
star |
| Institution to which field applies |
MiAaHDL |
| 533 ## - REPRODUCTION NOTE |
|---|
| Type of reproduction |
Electronic reproduction. |
| Place of reproduction |
[S.l.] : |
| Agency responsible for reproduction |
HathiTrust Digital Library, |
| Date of reproduction |
2010. |
| Institution to which field applies |
MiAaHDL |
| 538 ## - SYSTEM DETAILS NOTE |
|---|
| System details note |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |
| Uniform Resource Identifier |
<a href="http://purl.oclc.org/DLF/benchrepro0212">http://purl.oclc.org/DLF/benchrepro0212</a> |
| Institution to which field applies |
MiAaHDL |
| 583 1# - ACTION NOTE |
|---|
| Action |
digitized |
| Time/date of action |
2010 |
| Jurisdiction |
HathiTrust Digital Library |
| Status |
committed to preserve |
| Source of term |
pda |
| Institution to which field applies |
MiAaHDL |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved. General Introduction N. Shephard. Part I: Model Building. 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, (P.K. Clark). 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar P. |
| 590 ## - LOCAL NOTE (RLIN) |
|---|
| Local note |
Master record variable field(s) change: 050, 082 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Stochastic processes. |
| 9 (RLIN) |
1109 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
69928 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Money market |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
378748 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Capital market |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
117745 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finances |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
98415 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Processus stochastiques. |
| 9 (RLIN) |
11127 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Marché monétaire |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
378749 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Marché financier |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
117749 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
MATHEMATICS |
| General subdivision |
Probability & Statistics |
| -- |
Stochastic Processes. |
| Source of heading or term |
bisacsh |
| 9 (RLIN) |
4361 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Capital market |
| General subdivision |
Mathematical models. |
| Source of heading or term |
fast |
| Authority record control number |
(OCoLC)fst00846365 |
| 9 (RLIN) |
117745 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance |
| General subdivision |
Mathematical models. |
| Source of heading or term |
fast |
| Authority record control number |
(OCoLC)fst00924398 |
| 9 (RLIN) |
69928 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Money market |
| General subdivision |
Mathematical models. |
| Source of heading or term |
fast |
| Authority record control number |
(OCoLC)fst01025335 |
| 9 (RLIN) |
378748 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Stochastic processes. |
| Source of heading or term |
fast |
| Authority record control number |
(OCoLC)fst01133519 |
| 9 (RLIN) |
1109 |
| 650 17 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Stochastische modellen. |
| Source of heading or term |
gtt |
| 9 (RLIN) |
139695 |
| 650 17 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Beweeglijkheid. |
| Source of heading or term |
gtt |
| 9 (RLIN) |
378750 |
| 650 17 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Econometrische analyse. |
| Source of heading or term |
gtt |
| 9 (RLIN) |
153839 |
| 650 17 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Portfolio-theorie. |
| Source of heading or term |
gtt |
| 9 (RLIN) |
189295 |
| 655 #4 - INDEX TERM--GENRE/FORM |
|---|
| Genre/form data or focus term |
Electronic books. |
| 9 (RLIN) |
396 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Shephard, Neil. |
| 9 (RLIN) |
378751 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Print version: |
| Title |
Stochastic volatility. |
| Place, publisher, and date of publication |
Oxford ; New York : Oxford University Press, 2005 |
| International Standard Book Number |
0199257191 |
| -- |
9780199257195 |
| Record control number |
(DLC) 2005299546 |
| -- |
(OCoLC)59711776 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Advanced texts in econometrics. |
| 9 (RLIN) |
378752 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Materials specified |
EBSCOhost |
| Uniform Resource Identifier |
<a href="https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=191268">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=191268</a> |
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EBLB |
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EBL422944 |
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ebrary |
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EBRY |
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ebr10233598 |
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EBSCOhost |
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EBSC |
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191268 |
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ProQuest MyiLibrary Digital eBook Collection |
| -- |
IDEB |
| -- |
84576 |
| 938 ## - |
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| -- |
YBP Library Services |
| -- |
YANK |
| -- |
2875232 |
| 938 ## - |
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| -- |
YBP Library Services |
| -- |
YANK |
| -- |
2561992 |
| 994 ## - |
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| -- |
92 |
| -- |
N$T |