Discrete time series, processes, and applications in finance
Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This...
Enregistré dans:
| Hovedforfatter: | |
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| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer
[20..].
Cham : Springer Nature |
| Serier: | Springer Finance
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| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Discrete Time Series, Processes, and Applications in Finance, Gilles Zumbach, Berlin, Springer-Verlag, 2013, 1 vol. (xxi-319 p.), Springer finance, 978-3-642-31741-5 |
Indholdsfortegnelse:
- 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