Discrete Time Series, Processes, and Applications in Finance - Softcover
Buch 41 von 53: Springer Finance
Inhaltsangabe
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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