標(biāo)題: Titlebook: Discrete Time Series, Processes, and Applications in Finance; Gilles Zumbach Book 2013 Springer-Verlag Berlin Heidelberg 2013 91B84, 91B70 [打印本頁(yè)] 作者: satisficer 時(shí)間: 2025-3-21 16:30
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書目名稱Discrete Time Series, Processes, and Applications in Finance讀者反饋學(xué)科排名
作者: nullify 時(shí)間: 2025-3-22 00:06
Logarithmic Versus Relative Random Walks,zed, showing that both definitions have first a square root of time diffusion phase, followed by an exponential grow of the variance. Finally, the implications of the return definitions with respect to the skewness is explored, showing that the relative return definition is compatible with no skew.作者: plasma-cells 時(shí)間: 2025-3-22 01:38
Book 2013l 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 implica作者: follicular-unit 時(shí)間: 2025-3-22 07:58
Fred H. Geisler,William P. Coleman construction of models in finance and in physics, and the points that set this book apart from the existing literature. Finally, a companion web site is introduced. This site presents much more statistics and graphs for a deeper analysis of the empirical time series and processes.作者: COKE 時(shí)間: 2025-3-22 09:39
https://doi.org/10.1007/978-0-387-77893-8annualizes systematically the derived quantities in order to easily compare statistics across time horizons. The definitions of the average, expectation, and histogram complete the set of basic tools needed for the empirical analysis.作者: CLEAR 時(shí)間: 2025-3-22 13:27
Flávio E. Nácul,John M. O’DonnellIn particular, the cross-correlation between volatilities at different time horizons gives a characteristic signature of the heteroscedasticity, which emphasizes the (non)invariance with respect to the reversal of the time direction.作者: CLEAR 時(shí)間: 2025-3-22 17:43
Sneeta Takhar M.D.,Myer H. Rosenthal M.D.hmark for the subsequent analysis of the processes. For this set of FX rates, they show in an informal way the regularities and variability in the statistics. For the processes studied in the following chapter, the mug shots will give a?convenient summary of the statistical properties that need to be reproduced.作者: 頂點(diǎn) 時(shí)間: 2025-3-23 00:43 作者: Herbivorous 時(shí)間: 2025-3-23 02:16 作者: amorphous 時(shí)間: 2025-3-23 06:13 作者: 遺產(chǎn) 時(shí)間: 2025-3-23 10:23 作者: CANON 時(shí)間: 2025-3-23 16:56 作者: Countermand 時(shí)間: 2025-3-23 20:28 作者: 打折 時(shí)間: 2025-3-23 22:46 作者: 產(chǎn)生 時(shí)間: 2025-3-24 05:32
Characterizing Heteroscedasticity,y for increasing lags, whereas an exponential decay and power law decay can be eliminated. This shows that a multiscale structure should be used in the processes, capturing the observed long memory of the volatility clusters.作者: 意外 時(shí)間: 2025-3-24 06:40 作者: Infraction 時(shí)間: 2025-3-24 14:14
Regime-Switching Process,ts on the parameters of a regime-switching process are quite strong. But within these constraints, it is not possible to obtain a realistic multiscale heteroscedasticity. The mug shots show clearly the limitations of this class of processes with respect to the desired stylized facts.作者: Unsaturated-Fat 時(shí)間: 2025-3-24 17:10
The Innovation Distributions,ticity. A?Student distribution with a number of degrees of freedom around 5 gives a simple and good characterization of the empirical distributions. This shows that the fat tail observed in the return distributions is mostly generated by the innovations, while the volatility feed-back mechanism plays a small role.作者: Arthropathy 時(shí)間: 2025-3-24 20:43
J. Esteban Varela M.D.,Albert J. Varon M.D.he ARCH processes, the stochastic volatility processes, and the regime switching processes. The subsequent specific chapters present in detail the basic equation for the price random walk and the most interesting processes for the volatility in each category.作者: Mri485 時(shí)間: 2025-3-25 02:52
Bulat A. Ziganshin,John A. Elefteriadesant. The same tests applied to theoretical processes become a powerful selection criterion. The multiscale ARCH structure is able to reproduce the observed asymmetries, whereas the stochastic volatility processes cannot (regardless of the parameter values).作者: 很是迷惑 時(shí)間: 2025-3-25 05:35 作者: 丑惡 時(shí)間: 2025-3-25 09:45 作者: 證實(shí) 時(shí)間: 2025-3-25 14:05
Process Overview,he ARCH processes, the stochastic volatility processes, and the regime switching processes. The subsequent specific chapters present in detail the basic equation for the price random walk and the most interesting processes for the volatility in each category.作者: 匍匐前進(jìn) 時(shí)間: 2025-3-25 17:29 作者: 我不怕犧牲 時(shí)間: 2025-3-25 22:56 作者: 檔案 時(shí)間: 2025-3-26 02:32 作者: 遣返回國(guó) 時(shí)間: 2025-3-26 05:32
1616-0533 CH framework are presented.A balanced presentation of both e.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 behavi作者: 表示問(wèn) 時(shí)間: 2025-3-26 11:36 作者: 北極熊 時(shí)間: 2025-3-26 16:36 作者: 在前面 時(shí)間: 2025-3-26 19:14
Acta Neurochirurgica Supplementticity. A?Student distribution with a number of degrees of freedom around 5 gives a simple and good characterization of the empirical distributions. This shows that the fat tail observed in the return distributions is mostly generated by the innovations, while the volatility feed-back mechanism plays a small role.作者: 龍卷風(fēng) 時(shí)間: 2025-3-26 22:39 作者: seroma 時(shí)間: 2025-3-27 04:12
978-3-642-43654-3Springer-Verlag Berlin Heidelberg 2013作者: 即席演說(shuō) 時(shí)間: 2025-3-27 08:38
Gilles ZumbachThe volume discusses and works on several practical implication and gives a synthesis of the field.Important applications of the discrete ARCH framework are presented.A balanced presentation of both e作者: Euthyroid 時(shí)間: 2025-3-27 11:32 作者: Pessary 時(shí)間: 2025-3-27 16:31 作者: 數(shù)量 時(shí)間: 2025-3-27 18:17 作者: DAMN 時(shí)間: 2025-3-28 00:21 作者: 小畫像 時(shí)間: 2025-3-28 02:17
Leverage Effect,o an increased volatility after a downward price move. The effect is studied quantitatively over multiple time scales for empirical data. The flexibility of the ARCH equations allows us to add easily such a?dependency, so as to reproduce the empirical findings.作者: 強(qiáng)制性 時(shí)間: 2025-3-28 06:55 作者: RENAL 時(shí)間: 2025-3-28 12:41 作者: 效果 時(shí)間: 2025-3-28 14:52
https://doi.org/10.1007/978-0-387-77893-8need to be extended in order to denote accurately the time and time interval(s) dependencies in the computed time series like returns and volatilities. For inhomogeneous time series, a set of convenient operators is introduced, which makes it possible to estimate efficiently derived quantities like 作者: 有幫助 時(shí)間: 2025-3-28 21:13
Flávio E. Nácul,John M. O’Donnellcity and the fat-tailed distributions. This chapter contains a systematic empirical analysis of the stylized facts for FX time series, often using a multiscale analysis in order to extract at best the deviations from a simple random walk. The analysis includes probability density functions, scaling 作者: curriculum 時(shí)間: 2025-3-29 02:49 作者: IRATE 時(shí)間: 2025-3-29 05:18
J. Esteban Varela M.D.,Albert J. Varon M.D.fat tails. The starting point is always the normal random walk written by Bachelier in 1900, and the structure of the extensions can be classified along some broad categories. A?first “grand tour” of the various mathematical structures is given in this chapter, presenting the core ideas underlying t作者: ORE 時(shí)間: 2025-3-29 10:33 作者: Eructation 時(shí)間: 2025-3-29 14:01
J. Esteban Varela M.D.,Albert J. Varon M.D.ess is introduced first. Two equivalent formulations are presented: the original formulation of Engle and another form that is easier to understand intuitively and that allows for natural multiscale generalizations. This process is investigated in detail, in particular volatility forecasts and lagge作者: Tortuous 時(shí)間: 2025-3-29 17:21 作者: 頑固 時(shí)間: 2025-3-29 21:53
Nutritional Care in Coloproctologyes is always time-reversal invariant, but not the processes with three or more states. In order to obtain realistic probability density, the constraints on the parameters of a regime-switching process are quite strong. But within these constraints, it is not possible to obtain a realistic multiscale作者: custody 時(shí)間: 2025-3-30 03:57 作者: 時(shí)間等 時(shí)間: 2025-3-30 04:37
Bulat A. Ziganshin,John A. Elefteriadesinvariant under time reversal. Because financial data are dominated by randomness, the differences, if they exist, are small. Three estimators are presented which are sensitive to the direction of time. When applied to empirical data, they show unambiguously that financial time series are not invari作者: atrophy 時(shí)間: 2025-3-30 08:31 作者: 小丑 時(shí)間: 2025-3-30 12:42 作者: 跟隨 時(shí)間: 2025-3-30 17:25 作者: 領(lǐng)巾 時(shí)間: 2025-3-30 23:44 作者: 搖晃 時(shí)間: 2025-3-31 04:51 作者: FLUSH 時(shí)間: 2025-3-31 07:49 作者: Coterminous 時(shí)間: 2025-3-31 09:47 作者: engrave 時(shí)間: 2025-3-31 15:41 作者: 毀壞 時(shí)間: 2025-3-31 19:32 作者: 分貝 時(shí)間: 2025-4-1 01:45 作者: 尊嚴(yán) 時(shí)間: 2025-4-1 05:39
Option Pricing,sual delta replication. To turn this general scheme into a practical tool, a small time step expansion is performed, leading to efficient Monte Carlo simulations. In principle, the option prices depend on the risk preference of the issuers and are not unique. Yet, the small time expansion shows that作者: 鬧劇 時(shí)間: 2025-4-1 08:37
Book 2013thor 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 n作者: Transfusion 時(shí)間: 2025-4-1 10:48
Discrete Time Series, Processes, and Applications in Finance作者: Deject 時(shí)間: 2025-4-1 14:31
J. Esteban Varela M.D.,Albert J. Varon M.D.ulticomponent ARCH processes. Several variations of the multicomponent processes are studied, with a trade-off between simplicity and analytical computations versus more accurate stylized facts. In particular, these processes can reproduce the long memory observed in the empirical data. The mug shot
