Modeling Asset Prices
Modeling Asset Prices
As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to the asset class, the industrial sector(s) of the asset, and both the local economy and the general global economic conditions. Rather than attempting to model the value, we will confine our interest to modeling the price. The underlying assumption is that the price at which an asset trades is a “fair market price” that reflects the actual value of the asset.
- Humboldt-Universität zu Berlin Germany
- George Mason University United States
- University System of Taiwan Taiwan
- National Central University Taiwan
GARCH, ddc:330, 330 Wirtschaft, ARCH-Modell, Discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH, Discrete time series models, Börsenkurs, Volatilität, Stochastischer Prozess, continuous time diffusion models, Capital Asset Pricing Model, models with jumps, Zeitreihenanalyse, C15, stochastic volatility, Theorie, jel: jel:C15
GARCH, ddc:330, 330 Wirtschaft, ARCH-Modell, Discrete time series models, continuous time diffusion models, models with jumps, stochastic volatility, GARCH, Discrete time series models, Börsenkurs, Volatilität, Stochastischer Prozess, continuous time diffusion models, Capital Asset Pricing Model, models with jumps, Zeitreihenanalyse, C15, stochastic volatility, Theorie, jel: jel:C15
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