Modelling the Probability Distribution of Stock Price Changes
M. F. Omran
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Modelling the Probability Distribution of Stock Price Changes

Financial Time Series

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The book is a survey of major probability models of interest to academics and practitioners working in finance modelling. The book borrows models that were uniquely applied to forecast averages in time series analysis and applied them to the volatility of stock price changes. Intervention analysis of major world crises such as the oil crises of 1973-1974 and the market crash of the 1987 indicate that volatility responds differently to each crisis in terms of the impact and the lasting effect. The major argument of the thesis is that the assumption of stationary financial relationships is only ...