Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time (Dynamic Modeling and Econometrics in Economics and Finance)

Book Description

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

Customer Reviews:

Compact And a little profound.......2001-06-09

Just as the title, it is a compact book and not so easy to read. It is a technic book for us to understand how to measure the volitility in the financial market.It takes me a lot of time to read this one.I think it would be better for people to know a little stochastic calculus at first and then try to read it.... It is a good book I think and suits for the one who wants to know the topic more deeply.

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Financial Markets in Continuous Time
Rose-Anne Dana , and Monique Jeanblanc
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

Public Finance | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Options | Investing | Business & Investing | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 3540434038

Book Description

In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are further assumed to be rationalizable, that is, determined by equality of demand and supply on some market. This approach has its roots in the foundational work on General Equilibrium of the Nobel laureates Arrow and Debreu and in the work of McKenzie. This book has four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of general equilibrium theory, and applies this in financial markets. The last part is more advanced and tackles market incompleteness and the valuation of exotic options in a complete market.

Continuous-Time Methods and Market Microstructure (International Library of Financial Econometrics)

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Continuous-Time Methods and Market Microstructure (International Library of Financial Econometrics)

Manufacturer: Edward Elgar Pub
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Investing | Business & Investing | Subjects | Books
ASIN: 1847202659

The continuous time random walk formalism in financial markets [An article from: Journal of Economic Behavior and Organization]

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The continuous time random walk formalism in financial markets [An article from: Journal of Economic Behavior and Organization]
J. Masoliver , M. Montero , J. Perello , and G.H. Weiss
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000PC0HJC

Book Description

This digital document is a journal article from Journal of Economic Behavior and Organization, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price distribution from high-frequency data, and (ii) the inverse problem, obtaining information on the market microstructure as reflected by high-frequency data knowing only the daily volatility. We apply the formalism to financial data to show that the CTRW offers alternative tools to deal with several complex issues of financial markets.

Estimation of continuous-time models with an application to equity volatility dynamics [An article from: Journal of Financial Economics]

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Estimation of continuous-time models with an application to equity volatility dynamics [An article from: Journal of Financial Economics]
G. Bakshi , N. Ju , and H. Ou-Yang
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000P6XME0

Book Description

This digital document is a journal article from Journal of Financial Economics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
The treatment of this article renders closed-form density approximation feasible for univariate continuous-time models. Implementation methodology depends directly on the parametric-form of the drift and the diffusion of the primitive process and not on its transformation to a unit-variance process. Offering methodological convenience, the approximation method relies on numerically evaluating one-dimensional integrals and circumvents existing dependence on intractable multidimensional integrals. Density-based inferences can now be drawn for a broader set of models of equity volatility. Our empirical results provide insights on crucial outstanding issues related to the rank-ordering of continuous-time stochastic volatility models, the absence or presence of nonlinearities in the drift function, and the desirability of pursuing more flexible diffusion function specifications.

The mean-variance investment problem in a constrained financial market [An article from: Journal of Mathematical Economics]

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The mean-variance investment problem in a constrained financial market [An article from: Journal of Mathematical Economics]
W.G. Sun , and C.F. Wang
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital
ASIN: B000PBZUWW

Book Description

This digital document is a journal article from Journal of Mathematical Economics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
This paper extends the mean-variance analysis and the two-fund separation theorem to a market with some constraints, such as, the incompleteness, prohibition of short-selling, and partial information, with stochastic interest rate, and with stochastic volatility for risky assets. By maximizing a quadratic utility of terminal wealth, we show that the efficient frontier for the problem is a straight line in the mean-standard-deviation diagram. The quadratic utility function exhibits mean-variance efficiency. Our results apply to portfolios of claims in a single period, multiperiod, and continuous time.

Book Description

Here at last is the account of the O.J. Simpson case that no one else has dared to write, that no one else could write. In Outrage, the famed prosecutor of Charles Manson and bestselling author of Helter Skelter goes to the heart of the trial that divided the country and made a mockery of justice. Vincent Bugliosi, who never lost a murder case, brilliantly outlines the five reasons why O.J. Simpson got away with murder: the worst possible jury, a sloppy and incomplete prosecution, a fatal change of venue, judicial error that allowed the defense to play the race card, and a weak summation and rebuttal that barely addressed the defense's frame-up and conspiracy theories. He reveals:

--The offer Marcia Clark and Bill Hodgman should never have refused.
--The bluff that saved the defense's cardboard case.
--What Deputy Sheriff Jeff Stuart overheard when Rosey Grier visited Simpson in jail.
--The 17 words Johnnie Cochran used to cover his argument that could have been his undoing if caught.
--Why the jurors never heard Simpson's first police interview-- filled with self-incriminating statements that alone could have convicted him of murder.

1. What mistake in jury selection could have cost Marcia Clark the trial--even before she argued the case?

2. What did Simpson do to make sure the gloves wouldn't fit?

3. How did Judge Ito's behavior towards Marcia Clark prejudice the jury?

4. Why did the prosecutors suppress Simpson's "smoking gun"?

5. How did Johnnie Cochran con the jury?

6. Who might really have suggested that Simpson try on the evidence gloves?

Customer Reviews:

Had Bugliosi been the prosecutor, Simpson would have been put away without parole - where he belongs!.......2007-10-01

In light of O.J. Simpson's latest legal troubles (to which I now firmly believe in the power of "what goes around comes around"), I must say that I was completely bored with the so-called "Trial of the Century" media circus in 1995 and did not believe, for one second, that Simpson was remotely innocent (it's nice to see, all these years later, how his most vociferous defenders then have changed their tune now).

The American legal system is a complete joke and the media circus of the O.J. Simpson trial proved it ... and then some! The whole thing reminded me of the so-called "Manson Family" trial in 1970 (that I read about in newspapers on microfilm) for the murders of Sharon Tate, et. al., the previous year. So it's very fitting that retired Los Angeles District Attorney Vincent Bugliosi, who put that clown Manson and his pack of zombies away, would comment on another media circus that would occur a quarter of a century later where the victims were, once again, completely forgotten.

I firmly believe had Mr. Bugliosi prosecuted Simpson, he would have been in the can - without the possibility of parole - right where he belongs!

District Attorneys Marcia Clark and Christopher Darden, along with judge Lance Ito, were more concerned with becoming celebrities than in doing their jobs - and that was to be the voice of Nicole Brown and Ron Goldman in the courtroom. It was a given that Simpson's so-called legal "Dream Team" would turn the proceedings into a circus, but the judge and the DAs played the game, too, and it left doubts as to the level of their professionalism (and rightfully so).

At 19 years old, I was so disgusted with reading and hearing about Marcia Clark's hairdo, whether or not Clark and Darden had something going, how Ito shaved his face this week that I would run away from the TV everytime the proceedings were on or if the case was being covered on the nightly news. I know now, as I knew then, that I didn't miss anything - and Mr. Bugliosi's book reinforced that point.

I read Mr. Bugliosi's book not too long after its release and I concur with another reviewer in that if there's anyone who still believes in Simpson's "innocence," this book will shatter that ... and then some!

Mr. Bugliosi does what a competent attorney would (and should) do and that is making Swiss cheese of the other side's case. He ripped everyone involved with this case brand new ones - he shot major holes through the defense, but also appropriately ripped Clark and Darden for being more concerned with fame than in doing their jobs.

I'm not crazy about DAs or the legal system in general, but folks such as Vincent Bugliosi are one of the very few bright spots of the entire legal system.

Sometimes one can't help but feel the system is aptly titled the "criminal justice" system and I certainly felt that way after the verdict was read (and then to hear those biased jurors say they believed he was guilty, but let him off because of the Rodney King brouhaha really soured me on the whole jury thing).

But if every lawyer - defense attorney, district attorney, even judges - had the same set of legal standards and integrity that Vincent Bugliosi displayed during his career (who lost exactly one murder case out of a hundred in his career, among other case wins), I honestly believe the public wouldn't be so down on lawyers. His professionalism certainly comes through in this book. - Donna Di Giacomo

Maybe overwritten, never overstated.......2007-07-13

Reading, and re-reading parts of this book, cause this layman to wonder why some points were either mis-handled by the Prosecution or simply ignored. Bugliosi brilliantly points out how they consistently let their witnesses appear as incompetents or liars; how they mishandled *the* key piece of evidence - why would the man on trial use this evidence against himself in view of the whole world?; why wouldn't they discuss the Bronco chase?. I reflected upon them not using the witness (considered an undependable "star-gazer") to a person resembling O.J. Simpson driving erratically at about 10:50pm [though her violation of deposition security standards was enough to invalidate her taking the stand]; not making reference to a recently completed motion picture starring (or featuring?) the man on trial playing a character who murders people in the night, using a similiar weapon? (Just maybe these images were still in his head after the film was completed?). Why the Prosecution team couldn't simply state up front that "We are here to prove that the blood of *three* people was found at that scene; and one of those people sits at the Defense desk in this Courtroom" (?).
Bugliosi scrutinizes, with microscopic vision, the way a courtroom, the place where the law is administered in the eyes of God, into low slapstick. He doesn't look for reasons outside the trial - he simply analyses the scene, and then we can look at it with a combination of dismay and hope.

Absolutely Brilliant..........2007-06-19

Too bad Bugliosi couldn't have prosecuted this case...Orenthal James Simpson would be behind bars today if he had.

I, like the author, watched with disgust as Simpson got away with the brutal murder of Nicole Brown Simpson and Ron Goldman. When I saw this book in my local bookstore several years ago, I snatched it up. I knew that Vincent Bugliosi had written "Helter Skelter" about his prosecution of the Manson family, and that was one of the scariest things I had ever read...I could also see, by the title of this book, that Mr. Bugliosi was as revolted by the spectacle of the Simpson trial as I was.

He points out the many, many mistakes made by the prosecution in this case, which ought to have been a clear win but instead turned into what could almost be called a comedy of errors...if it wasn't such a tragedy.

For the reviewer who stated that Nicole was a party girl, etc....who cares if she was?? She did not deserve to be slaughtered, nor did Ron Goldman.

O.J. Simpson did these crimes and is walking around free, playing golf, smiling, and laughing it up. One can only hope for an afterlife, so that Mr. Simpson can finally get what's coming to him...an eternity in hell.

Honest, Straight-Forward Analysis of the OJ Trial.......2006-11-10

Bugliosi details all of the mistakes made during the prosecution of OJ Simpson. He describes outlandish mistakes by both the prosecution and the defense and how, given the volume of damning evidence, the case should have been a slam-dunk. Lawyers are too much like politicians--getting caught up in the media coverage and focusing way too much on appearances, forgetting the substance of the situation. You'll see exactly why this was the most famous and most screwed-up trial in American history. Fie on the whole lot of them, including Simpson. Great reading!

Or How I Would Have Won.......2006-09-21

Vincent Bugliosi, author and prosecutor who successfully convicted Charles Manson as conspirator in the Helter Skelter murders of Sharon Tate and the LaBiancos, catalogues the mistakes of the prosecution, the judge, the media, the jury and the case.

In short, Bugliosi states what the defense should have not been allowed to do, what the judge and prosecution should have done, and how the jury should have responded. In other words, had he been prosecutor, he tells us how he would have done it differently and won.

We learn the results of O.J.'s lie detector results here. He scored a minus 22. This is about the lowest score a person can receive. He lied. We also learn how Bugliosi would have attacked the defense's assertion that the three (white) detectives conspired to convict O.J. Simpson with planted evidence.

Bugliosi's argument is that conspiracy to frame a person charged with a crime punishable by death is itself a crime punishable by death in California. The defense would have had us believe that two detectives on the verge of retirement would have entered into a conspiracy with a detective they didn't know (Mark Fuhrman), and plant or taint evidence against Simpson because they were racist. For their supposed racism, they would have risked their careers, pension, jail and death to get Simpson. Bugliosi makes a strong argument here that this would have been a stretch especially for three savvy detectives. The prosecution failed to challenge this wild assertion.

He makes Judge Ito out to be what he was, a man who bent over backwards to appease the media and the defense when the latter should have been held in contempt many times.

This is about the trial more than the story of O.J. Simpson, a man whose story has divided a nation in a way that hasn't occurred until our current political divisions.

Like more than half the nation, I am so convinced that he did commit those murders, I would bet the mortgage, and my career.

Sadly, the belief in innocence or guilt falls right along racial lines.

Outrage the Five Reasons Why O J Simpson Got Away with Murder

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Outrage the Five Reasons Why O J Simpson Got Away with Murder
Bugliosi Vincent
Manufacturer: W W Norton
ProductGroup: Book
Binding: Hardcover
ASIN: B000LBALGQ

4 Books: 1) The Search for Justice: Defense Attorney's Brief on the OJ Simpson Case / 2) Outrage: The Five Reasons Why O.J. Simpson Got Away With Murder / 3) Nicole Brown Simpson: The Private Diary of a Life Interrupted / 4) Another City, Not My Own (Unboxed Set of True Crime Books by Various Authors)

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4 Books: 1) The Search for Justice: Defense Attorney's Brief on the OJ Simpson Case / 2) Outrage: The Five Reasons Why O.J. Simpson Got Away With Murder / 3) Nicole Brown Simpson: The Private Diary of a Life Interrupted / 4) Another City, Not My Own (Unboxed Set of True Crime Books by Various Authors)
Robert Shapiro , Larkin Warren , Vince Buglosi , Vincent Bugliosi , Faye D. Resnick , Mike Walker , and Dominick Dunne
Manufacturer: various
ProductGroup: Book
Binding: Hardcover
ASIN: B000WHLZ00

Product Description

4 Books: 1) The Search for Justice: Defense Attorney's Brief on the OJ Simpson Case / 2) Outrage: The Five Reasons Why O.J. Simpson Got Away With Murder / 3) Nicole Brown Simpson: The Private Diary of a Life Interrupted / 4) Another City, Not My Own, (Unboxed Set of Books) , in either Hard or Softcover, (See Seller Condition Comments), Shipped in one package to save on shipping costs.

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Outrage - The Five Reasons Why O. J. Simpson Got Away With Murder
Vincent Bugliosi
Manufacturer: W. W. Norton & Co
ProductGroup: Book
Binding: Hardcover
ASIN: B000IX2UOS

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Outrage, The Five Reasons Why O.J. Simpson Got Away with Murder
Vincent Bugliosi
Manufacturer: New York: W.W. Norton & Company, Inc. 1996
ProductGroup: Book
Binding: Hardcover
ASIN: B000O3LYOE

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Outrage: The Five Reasons Why O.J. Simpson Got Away With Murder
Vincent Bugliosi
Manufacturer: New York W. W. Norton 1996.
ProductGroup: Book
Binding: Hardcover
ASIN: B000P0KFW8

Book Description

Shows owners and practicing cosmetologists how to maximize their salon sales and learn the keys to building sales without feeling pushy.

Customer Reviews:

In The Bag: Selling in the Salon.......2000-04-26

This is a great book which gives invaluable, practical advice on increasing salon revenues.

The book concentrates on increasing revenue through retail sales looking at salon design, layout, product, staffing, sales tips, objections, follow up etc.

Carol Phillips really understands customer service, and makes you think about the whole client experience. At every stage she makes suggestions to improve your customer service to build customer loyalty and repeat sales. There is also advice on staff issues, marketing and other management issues.

The book has been carefully structured and the chapter overviews and summaries are useful. It is also well indexed. I now call it the salon bible. Read it.

Book Description

The Handbook of Online Marketing Research examines all the latest techniques and trends used to conduct online research, including how to leverage existing sources, online chat-based sessions, email feedback, online focus groups, and much more. Now, just like larger companies, small– and medium–sized companies can learn vital information like the age, gender, and income of its users, and how they respond to different aspects of the products and those of its competitors. With the advent of the Internet, companies of all sizes and budgets can conduct online market research and access all the information they need to know to stay ahead of the competition. This book demonstrates how both large and small companies can take proven traditional market research techniques and adapt them to the Web. The result is an affordable means for businesses to understand their online customers’ needs.

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Customer Reviews:

the online marketer's bible.......2003-11-08

If you are a marketing professional, you most likely leverage the power of the Internet in some form for research. This book brings forth the broad tactics (from segmentation to targeting) in a digestible format. If you haven't used the power of the Internet to drive your company's research strategy -- you're missing the boat. Make sure to pick up a copy of this book to jump start your learning process.

Most preposterous mistake I've seen in a computer book.......2001-11-10

Check out page 46 of the 49 online. It shows the entry for "Tickle" in the index. Of course this should be TCL (Tool Command Language), but the authors are apparently trying to pass themselves off as being more knowledgable than they really are. This is the most preposterous mistake I have seen in any technical book, and I've read hundreds. Would you trust the authors to advise you on how to conduct research when they so miserably failed to research what TCL is? This mistake was pointed out by a previous reviewer, and now they demonstrate it for all to see by making the index available on this very site?! These guys need to TAKE some marketing lessons, not offer them.

Top resource for reaching and responding to your customers.......2001-02-28

This book is packed with good information. I saw the review in Wired,
and couldn't agree more. I've been using the resources identified in
the book and on the companion website. My company did a little
research with some free web survey technology, which wasn't very
useful. Not only does this book explain why (in a way I can
understand and explain to my managers) but it also explains how to do
it right. Lots of good examples thrown in as well. We're gearing up
to run some surveys, and so far, all is well. ... -- I suppose this
book isn't for statisticians, but then, the authors say that up front.
All in all, this is one of the better "how to" books I've
seen for the web.

Online Market Research for Dummies.......2001-02-18

At best this book is a very general overview of market research concepts that are not even specific to online surveys. For instance, don't "lead" the respondent.

Its best isn't very good though. For instance, the authors repeatedly refer to Excel as a bona fide analysis tool. No professional worth his or her salt would use such a tool for this purpose.

At its worst this book is full of misinformation about web development. Before I bought this book, I wish I could have read the review that points out the authors' total misconception about Tcl, or "Tickle" as they call it.

Even more incredibly, there is an entry for "Tickle" in the index!

If you are at an intermediate level or higher in either market research or web development, this book is completely worthless.

Handbook means reference, and this is not a reference.......2001-02-18

There is some good information in this book but for the most part it is far too simple. For instance, almost no attention is paid to the critical topic of validating user data. I've heard this should at the least be done on the server, and possibly on both the client machine (using Javascript) and the server.

Again, no useful information is presented on the matter of preventing respondents from going back and changing data once they have entered it. These are a couple of issues that have been encountered by market researchers who have already managed a web survey or two.

Book Description

A corporate brand represents the public perception of a company, its products, and its employees. Simple mishandling or mismanagement of a brand can have a potentially catastrophic impact on a business. Therefore, effective brand management is a critical component of the marketing strategy of all businesses. Businesses use the Internet not only to promote their brand to the general public via external Web sites, but also to develop and maintain that brand. Over the last two to four years, a plethora of vendors have emerged to offer Internet-based tools and services for internal or external brand management. As illustrated in Exhibit 1, among the components of Web brand management are search engine optimization (SEO), brand protection, and brand asset management (BAM). These categories cater to different user sets within an organization and offer quite different value propositions. However, despite these differences, vendors within these categories claim to assist businesses in brand management across multiple channels, markets, and media, and to help accelerate the time-to-market of messaging and digital assets. This Report analyzes the benefits of using multiple techniques for brand management, identifies the business drivers behind an end-user purchase decision, and assesses how new technologies for brand development, management, and protection can affect a business’s bottom line.

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Enough already.(On Marketing)(using online surveys and other market research tools for marketing): An article from: Arkansas Business

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Enough already.(On Marketing)(using online surveys and other market research tools for marketing): An article from: Arkansas Business
Jim Karrh
Manufacturer: Thomson Gale
ProductGroup: Book
Binding: Digital

General | Business & Investing | Subjects | Books

Web Marketing | Business & Culture | Computers & Internet | Subjects | Books

Book Description

This digital document is an article from Arkansas Business, published by Thomson Gale on May 14, 2007. The length of the article is 706 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Enough already.(On Marketing)(using online surveys and other market research tools for marketing)
Author: Jim Karrh
Publication: Arkansas Business (Magazine/Journal)
Date: May 14, 2007
Publisher: Thomson Gale
Volume: 24 Issue: 19 Page: 7(1)

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The older generation is more Internet savvy than ever: right now, many adults are using the Internet to research senior housing options for their parents. ... choices.(Marketing): An article from: Units

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The older generation is more Internet savvy than ever: right now, many adults are using the Internet to research senior housing options for their parents. ... choices.(Marketing): An article from: Units
Brad Fuqua
Manufacturer: National Apartment Association
ProductGroup: Book
Binding: Digital

Web Marketing | Business & Culture | Computers & Internet | Subjects | Books

Book Description

This digital document is an article from Units, published by National Apartment Association on July 1, 2004. The length of the article is 974 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: The older generation is more Internet savvy than ever: right now, many adults are using the Internet to research senior housing options for their parents. Tomorrow, these same adults will explore their own senior living choices.(Marketing)
Author: Brad Fuqua
Publication: Units (Magazine/Journal)
Date: July 1, 2004
Publisher: National Apartment Association
Volume: 28 Issue: 7 Page: 36(2)

Distributed by Thomson Gale

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