Handbook of volatility models and their applications /

• Άλλοι συγγραφείς: Bauwens, Luc, 1952-, Hafner, Christian, Laurent, Sébastien, 1974-
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, N.J. : Wiley, [2012]
• Σειρά: Wiley handbooks in financial engineering and econometrics.
• Θέματα: Banks and banking > Econometric models.; Finance > Econometric models.; GARCH model.; BUSINESS & ECONOMICS > Finance.; Business.; Electronic books.

"The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen expert...

Πίνακας περιεχομένων:

• Volatility models
• Nonlinear models for autoregressive conditional heteroskedasticity
• Mixture and regime-switching GARCH models
• Forecasting high dimensional covariance matrices
• Mean, volatility, and skewness spillovers in equity markets
• Relating stochastic volatility estimation methods
• Multivariate stochastic volatility models
• Model selection and testing of conditional and stochastic volatility models
• Multiplicative error models
• Locally stationary volatility modeling
• Nonparametric and semiparametric volatility models : specification, estimation, and testing
• Copula-based volatility models
• Realized volatility : theory and applications
• Likelihood-based volatility estimators in the presence of market microstructure noise
• HAR modeling for realized volatility forecasting
• Forecasting volatility with MIDAS
• Jumps
• Nonparametric tests for intraday jumps : impact of periodicity and microstructure noise
• Volatility forecasts evaluation and comparison.