عنوان

Discrete Time Series, Processes, and Applications in Financ

شابک

9783642317422

کد کشور

IR

شماره

EN-52341

زبان متن نوشتاري يا گفتاري و مانند آن

انگلیسی

کشور محل نشر

IR

عنوان اصلي

Discrete Time Series, Processes, and Applications in Financ

نام عام مواد

[Book]

ساير اطلاعات عنواني

:[delta

نام نخستين پديدآور

/ by Gilles Zumbach

محل نشرو پخش و غیره

Berlin, Heidelberg

نام ناشر، پخش کننده و غيره

: Springer Berlin Heidelberg :Imprint: Springer,

تاریخ نشرو بخش و غیره

, 2013.

نام خاص و کميت اثر

XXI, 317 p. 103 illus., 101 illus. in color., online resource.

عنوان فروست

(Springer Finance,1616-0533)

متن يادداشت

Electronic

متن يادداشت

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts. This book presents a survey of the empirical properties of financial time series, their descriptions by means of mathematical processes, and some implications for important financial applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to extract information from raw data are introduced. Extensive multiscale empirical statistics provide a solid benchmark of stylized facts (heteroskedasticity, long memory, fat-tails, leverage...), in order to assess various mathematical structures that can capture the observed regularities. The author introduces a broad range of processes and evaluates them systematically against the benchmark, summarizing the successes and limitations of these models from an empirical point of view. The outcome is that only multiscale ARCH processes with long memory, discrete multiplicative structures and non-normal innovations are able to capture correctly the empirical properties. In particular, only a discrete time series framework allows to capture all the stylized facts in a process, whereas the stochastic calculus used in the continuum limit is too constraining. The present volume offers various applications and extensions for this class of processes including high-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book discusses many practical implications and is addressed to practitioners and quants in the financial industry, as well as to academics, including graduate (Master or PhD level) students. The prerequisites are basic statistics and some elementary financial mathematics. Gilles Zumbach has worked for several institutions, including banks, hedge funds and service providers and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH processes and financial applications.

متن يادداشت

Preface -- List of Figures.-List of Tables -- 1. Introduction -- 2.Notation, naming and general definitions -- 3.Stylized facts -- 4.Empirical mug shots -- 5.Process Overview -- 6.Logarithmic versus relative random walks -- 7.ARCH processes -- 8.Stochastic volatility processes -- 9.Regime switching process -- 10.Price and volatility using high-frequency data -- 11.Time reversal asymmetry -- 12.Characterizing heteroskedasticity -- 13.The innovation distributions -- 14.Leverage effect -- 15.Processes and market risk evaluation -- 16.Option pricing -- 17.Properties of large covariance matrices -- 18.Multivariate ARCH processes -- 19.The processes compatible with the stylized facts -- 20.Further thoughts.-Bibliography -- Index.?╗╣

عنوان

Springer Finance,1616-0533

موضوع مستند نشده

Mathematics

موضوع مستند نشده

Finance

موضوع مستند نشده

Distribution (Probability theory)

موضوع مستند نشده

Economics, Statistics

موضوع مستند نشده

Electronic books

شماره رده

مستند نام اشخاص تاييد نشده

Zumbach, Gilles.

مستند نام اشخاص تاييد نشده

SpringerLink (Online service)

کشور

ایران

نام ميزبان

9783642317415.pdf

شماره دسترسي

عادی

اطلاعات مختصر

عادی

تاريخ و ساعت مذاکره و دسترسي

9783642317415.pdf

نوع فرمت الکترونيکي

متن

وضعیت فهرست نویسی

old catalog

فرمت انتشار

e

نوع ماده

BL

پیشوند ISBD اعمال شده است

1

سطح دسترسي

a

تكميل شده

Y