Electronic Resource
Boston, USA and Oxford, UK
:
Blackwell Publishers Inc
Mathematical finance
11 (2001), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
This paper proposes a new theory of the sources of time-varying second (and higher) moments in financial time series. The key idea is that fully rational agents must infer the stochastic degree of persistence of fundamental shocks. Endogenous changes in their uncertainty determine the evolution of conditional moments of returns. The model accounts for the principal observed features of volatility dynamics and implies some new ones. Most strikingly, it implies a relationship between ex post trends, or momentum, and changes in volatility.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.00123
Permalink
|
Location |
Call Number |
Expected |
Availability |