Discrete Time Series, Processes, and Applications in Finance - Softcover

Book 41 of 53: Springer Finance

Zumbach, Gilles

 
9783642317439: Discrete Time Series, Processes, and Applications in Finance
Softcover
ISBN 10: 364231743X ISBN 13: 9783642317439
Publisher: Springer, 2013

This specific ISBN edition is currently not available.

Synopsis

Preface.- List of Figures.-List of Tables.- 1. Introduction.- 2.Notation, naming and general definitions.- 3.Stylized facts.- 4.Empirical mug shots.- 5.Process Overview.- 6.Logarithmic versus relative random walks.- 7.ARCH processes.- 8.Stochastic volatility processes.- 9.Regime switching process.- 10.Price and volatility using high-frequency data.- 11.Time reversal asymmetry.- 12.Characterizing heteroskedasticity.- 13.The innovation distributions.- 14.Leverage effect.- 15.Processes and market risk evaluation.- 16.Option pricing.- 17.Properties of large covariance matrices.- 18.Multivariate ARCH processes.- 19.The processes compatible with the stylized facts.- 20.Further thoughts.-Bibliography.- Index.

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Publisher
Springer
Publication date
2013
Language
English
ISBN 10 
364231743X
ISBN 13 
9783642317439
Binding
Paperback

Other Popular Editions of the Same Title

9783642317415: Discrete Time Series, Processes, and Applications in Finance (Springer Finance)

Featured Edition

ISBN 10:  3642317413 ISBN 13:  9783642317415
Publisher: Springer, 2012
Hardcover