E-book
Discrete Time Series, Processes, and Applications in Finance [electronic resource] / by Gilles Zumbach.
Record details
- ISBN: 9783642317422
- Physical Description: XXI, 317 p. 103 illus., 101 illus. in color. online resource.
- Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : 2013.
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Electronic resources
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.. |
