This paper introduces a unified factor overnight GARCH-Itô Models model for large volatility matrix estimation and prediction. To account for whole-day market dynamics, the proposed model has two different instantaneous factor volatility processes for the open-to-close and close-to-open...

Focusing on the physics of the catastrophe process and addressed directly to advanced students, this innovative textbook quantifies dozens of perils, both natural and man-made, and covers the latest developments in catastrophe modelling. Combining basic statistics, applied physics, natural and...