Discrete Time Series, Processes, and Applications in Finance

By Gilles Zumbach

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 3642436544
• ISBN13: 9783642436543
• Release Date: October 2014
• Publisher: Springer
• Length: 322 Pages
• Weight: 1.06 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"