Financial Mathematics, Volatility and Covariance Modelling Volume 2 Routledge Advances in Applied Financial Econometrics Series
Coordonnateurs : Chevallier Julien, Goutte Stéphane, Guerreiro David, Saglio Sophie, Sanhaji Bilel
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
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
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
Date de parution : 06-2019
Disponible chez l'éditeur (délai d'approvisionnement : 13 jours).
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