Electronic Resource

Discrete time series, processes, and applications in finance

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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.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

E762

Penerbit

Jerman : Springer Berlin, Heidelberg., 2013

Deskripsi Fisik

xxii, 322 hlm.

Bahasa

English

ISBN/ISSN

9783642317422

Klasifikasi

NONE

Tipe Isi

text

Tipe Media

computer

Tipe Pembawa

online resource

Edisi

Ed.1

Subjek

Keuangan Kuantitatif

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Gilles Zumbach

Versi lain/terkait

Lampiran Berkas

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