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Financial Mathematics, Volatility and Covariance Modelling Volume 2 Routledge Advances in Applied Financial Econometrics Series

Langue : Anglais

Coordonnateurs : Chevallier Julien, Goutte Stéphane, Guerreiro David, Saglio Sophie, Sanhaji Bilel

Couverture de l’ouvrage 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 Modelling: Volume II provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics

This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

List of Contributors

Introduction

Section I: Mathematical Stochastical Finance

1. Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models

Anatoliy Swishchuk, Zijia Wang

2. A nonparametric ACD model

Antonio Cosma, Fausto Galli

3. Sovereign debt crisis and economic growth: new evidence for the euro area

Iuliana Matei

4. On the spot-futures no-arbitrage relations in commodity markets

René Aïd, Luciano Campi, Delphine Lautier

5. Compound Hawkes Processes in Limit Order Books

Anatoliy Swishchuk, Bruno Remillard, Robert Elliott, Jonathan Chavez-Casillas

Section II: Financial Volatility and Covariance Modelling

6. Models with Multiplicative Decomposition of Conditional Variances and Correlations

Cristina Amado, Annastiina Silvennoinen, Timo Teräsvirta

7. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?

Denisa Banulescu-Radu, Elena Dumitrescu

8. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector

Gianluca Cubadda, Alain Hecq, Antonio Riccardo

9. Covariance estimation and quasi-likelihood analysis

Yuta Koike, Nakahiro Yoshida

10. The Log-GARCH Model via ARMA Representations

Genaro Sucarrat

Date de parution :

15.6x23.4 cm

Disponible chez l'éditeur (délai d'approvisionnement : 13 jours).

Prix indicatif 195,46 €

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