http://hdl.handle.net/10016/2375 2013-05-23T03:40:58Z http://hdl.handle.net/10016/4906 Title: An overview of probabilistic and time series models in finance Author(s): Ruiz, Esther [ortega] Abstract: In this paper, we partially review probabilistic and time series models in finance. Both discrete and continuous .time models are described. The characterization of the No- Arbitrage paradigm is extensively studied in several financial market contexts. As the probabilistic models become more and more complex to be realistic, the Econometrics needed to estimate them are more difficult. Consequently, there is still much research to be done on the link between probabilistic and time series models. 2004-12-31T23:00:00Z http://hdl.handle.net/10016/4783 Title: Multivariate Stochastic Variance Models Author(s): Harvey, Andrew; Ruiz, Esther [ortega]; Shephard, Neil Abstract: Changes in variance, or volatility, over time can be modeled using the approach based on autoregressive conditional heteroscedasticity. Another approach is to model variance as an unobserved stochastic process. Although it is not easy to obtain the exact likelihood function for such stochastic variance models, they tie in closely with developments in finance theory and have certain statistical attractions. This article sets up a multivariate model, discusses its statistical treatment, and shows how it can be modified to capture common movements in volatility in a very natural way. The model is then fitted to daily observations on exchange rates. Description: Publicado además en: The Review of Economic Studies, 1994, vol. 61, n. 2, p. 247-264; Publicado además en: Recent developments in Time Series, 2003, vol. 2, pp. 134-152; Publicado además en: Selected Readings for Stochastic Volatility, 2005, p. 156-176, ISBN10: 0199257191, ISBN13: 9780199257195 1994-12-31T23:00:00Z http://hdl.handle.net/10016/3333 Title: The spectral estimation of simultaneous equation systems with lagged endogenous variables Author(s): Espasa, Antoni [espasa] 1987-12-31T23:00:00Z http://hdl.handle.net/10016/3350 Title: Cliver Granger: Sus semillas en econometría y su visión sobre la construcción de modelos empírico en economía Author(s): Espasa, Antoni [espasa] 2006-12-31T23:00:00Z