Financial mathematics, volatility and covariance modelling:
Gespeichert in:
| Weitere beteiligte Personen: | , , , , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
London
Routledge
2019
|
| Schriftenreihe: | Routledge advances in applied financial econometrics
Volume 2 |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031460730&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | x, 370 Seiten Illustrationen, Diagramme |
| ISBN: | 9781138060944 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1819329069198606336 |
|---|---|
| adam_text | Contents About the editors List of contributors Introduction vii viii 1 PART I Commodities finance 1 Long memory and asymmetry in commodity returns and risk: the role of term spread 7 9 STEVEN J. COCHRAN, IQBAL MANSUR, AND BABATUNDE ODUSAMI 2 The quantile-heterogeneous autoregressive model of realized volatility: new evidence from commodity markets 39 KONSTANTIN KUCK AND ROBERT MADERITSCII 3 The importance of rollover in commodity returns using PARCH models 59 MENELAOS KARANASOS, PANAGIOTIS KOUTROUMPIS, ZANNIS MARGARONIS, AND RAJAT NATH PART 2 Mathematical stochastical finance 4 Variance and volatility swaps and futures pricing for stochastic volatility models 93 95 ANATOLIY SWISHCHUK AND ZUJA WANG 5 A nonparametric ACD model ANTONIO COSMA AND FAUSTO GALLI 122
vi Contents 6 Sovereign debt crisis and economic growth: new evidence for the euro area 145 IULIANA MATEI 7 On the spot-futures no-arbitrage relations in commodity markets 170 RENÉ AID, LUCIANO CAMPI, AND DELPHINE LAUTIER 8 Compound hawkes processes in limit order books 191 ANATOLIY SWISHCHUK, BRUNO REMILLARD, ROBERT ELLIOTT, AND JONATHAN CHAVEZ-CASILLAS PART 3 Financial volatility and covariance modeling 9 Models with multiplicative decomposition of conditional variances and correlations 215 217 CRISTINA AMADO, ANNASTIINA SILVENNOINEN, AND TIMO TERÄSVIRTA 10 Do high-frequency-based measures improve conditional covariance forecasts? 261 DENISA BANULESCU-RADU AND ELENA DUMITRESCU 11 Forecasting realized volatility measures with multivariate and univariate models: the case of the US banking sector 286 GIANLUCA CUBADDA, ALAIN HECQ, AND ANTONIO RICCARDO 12 Covariance estimation and quasi-likelihood analysis 308 YUTA KOIKE AND NAKAHIRO YOSHIDA 13 The Log-GARCH model via ARMA representations 336 GENARO SUCARRAT Index 361
|
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| building | Verbundindex |
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| classification_rvk | QP 890 |
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-12-20T18:42:35Z |
| institution | BVB |
| isbn | 9781138060944 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-031460730 |
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| physical | x, 370 Seiten Illustrationen, Diagramme |
| publishDate | 2019 |
| publishDateSearch | 2019 |
| publishDateSort | 2019 |
| publisher | Routledge |
| record_format | marc |
| series2 | Routledge advances in applied financial econometrics |
| spellingShingle | Financial mathematics, volatility and covariance modelling Finanzmathematik (DE-588)4017195-4 gnd Volatilität (DE-588)4268390-7 gnd Ökonometrie (DE-588)4132280-0 gnd Kovarianz Stochastik (DE-588)4140520-1 gnd |
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| title | Financial mathematics, volatility and covariance modelling |
| title_auth | Financial mathematics, volatility and covariance modelling |
| title_exact_search | Financial mathematics, volatility and covariance modelling |
| title_full | Financial mathematics, volatility and covariance modelling edited by Julien Chevallier, Stephane Goutte, David Guerreiro, Sophie Saglio and Bilel Sanhaji |
| title_fullStr | Financial mathematics, volatility and covariance modelling edited by Julien Chevallier, Stephane Goutte, David Guerreiro, Sophie Saglio and Bilel Sanhaji |
| title_full_unstemmed | Financial mathematics, volatility and covariance modelling edited by Julien Chevallier, Stephane Goutte, David Guerreiro, Sophie Saglio and Bilel Sanhaji |
| title_short | Financial mathematics, volatility and covariance modelling |
| title_sort | financial mathematics volatility and covariance modelling |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Volatilität (DE-588)4268390-7 gnd Ökonometrie (DE-588)4132280-0 gnd Kovarianz Stochastik (DE-588)4140520-1 gnd |
| topic_facet | Finanzmathematik Volatilität Ökonometrie Kovarianz Stochastik Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=031460730&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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