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...

Full description

Bibliographic Details
Main Author: Zumbach, Gilles
Format: Printed Book
Language:English
Published: Heidelberg ; New York : Springer, ©2013.
Series:Springer finance.
Subjects:
Discrete-time systems.
Business mathematics.
Time-series analysis.
Finance > Mathematical models.
Online Access:Contributor biographical information
Publisher description
Table of contents only
Table of Contents:
  • Introduction
  • Notation, naming, and general definitions
  • Stylized facts
  • Empirical mug shots
  • Process overview
  • Logarithmic versus relative random walks
  • ARCH processes
  • Stochastic volatility processes
  • Regime-switching process
  • Price and volatility using high-frequency data
  • Time-reversal asymmetry
  • Characterizing heteroscedasticity
  • The innovation distributions
  • Leverage effect
  • Processes and market risk evaluation
  • Option pricing
  • The empirical properties of large covariance matrices
  • Multivariate ARCH processes
  • The processes compatible with the stylized facts
  • Further thoughts.

Similar Items