Financial mathematics, volatility and covariance modelling
This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Mode...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Abingdon, Oxon ; New York, NY :
Routledge
2019.
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| Edición: | 1st ed |
| Colección: | Routledge advances in applied financial econometrics
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009644276306719 |
Tabla de Contenidos:
- Cover
- Half Title
- Series Page
- Title
- Copyright
- Contents
- About the editors
- List of contributors
- Introduction
- PART 1 Commodities finance
- 1 Long memory and asymmetry in commodity returns and risk: the role of term spread
- 2 The quantile-heterogeneous autoregressive model of realized volatility: new evidence from commodity markets
- 3 The importance of rollover in commodity returns using PARCH models
- PART 2 Mathematical stochastical finance
- 4 Variance and volatility swaps and futures pricing for stochastic volatility models
- 5 A nonparametric ACD model
- 6 Sovereign debt crisis and economic growth: new evidence for the euro area
- 7 On the spot-futures no-arbitrage relations in commodity markets
- 8 Compound hawkes processes in limit order books
- PART 3 Financial volatility and covariance modeling
- 9 Models with multiplicative decomposition of conditional variances and correlations
- 10 Do high-frequency-based measures improve conditional covariance forecasts?
- 11 Forecasting realized volatility measures with multivariate and univariate models: the case of the US banking sector
- 12 Covariance estimation and quasi-likelihood analysis
- 13 The Log-GARCH model via ARMA representations
- Index.
