Extent: | XXI, 319 S. zahlr. graph. Darst. 24 cm |
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Series: | |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Übersichtsarbeit ; Systematic review ; Lehrbuch ; Textbook |
Language: | English |
Notes: | Literaturverz. S. 309 - 315 IntroductionNotation, naming, and general definitions -- Stylized facts -- Empirical mug shots -- Process overview -- Logarithmic versus relative random walks -- ARCH processes -- Stochastic volatility processes -- Regime-switching process -- Price and volatility using high-frequency data -- Time-reversal asymmetry -- Characterizing heteroscedasticity -- The innovation distributions -- Leverage effect -- Processes and market risk evaluation -- Option pricing -- The empirical properties of large covariance matrices -- Multivariate ARCH processes -- The processes compatible with the stylized facts -- Further thoughts. |
ISBN: | 3-642-31741-3 ; 978-3-642-31741-5 ; 978-3-642-31742-2 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009634376