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Preise und Handelsvolumina auf Finanzmrkten

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Brand
Springer Nature
Manufacturer
N/A
Part Number
0
GTIN
9783824467211
Condition
New
Product Description

Die Kenntnis der Verteilungs- und Zeitreiheneigenschaften von Wertpapierpreisen ist eine wesentliche Voraussetzung fr Modelle zur Bewertung von Finanztiteln. Dabei stellt sich die Frage, ob die Bercksichtigung des Handelsvolumens zu zustzlichen Erkenntnissen ber das stochastische Verhalten von Preisen fhrt und damit zu einem besseren Verstndnis von Finanzmrkten beitrgt. Roman Liesenfeld stellt den in der neueren empirischen Finanzmarktliteratur weit verbreiteten GARCH-Modellen die Klasse der Mischungsverteilungsmodelle gegenber, die einen hheren konomischen Gehalt besitzen und eine angemessene Einbeziehung des Handelsvolumens ermglichen. Der Autor berprft verschiedene Spezifikationen von Mischungsverteilungsmodellen mit neuesten konometrischen Methoden fr den deutschen Aktienmarkt.

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