Financial Mathematics, Volatility and Covariance Modelling: Volume 2

ISBN-13: 9780367785581 / Angielski / Miękka / 2021 / 370 str.

Julien Chevallier; Stéphane Goutte; David Guerreiro

Opis

This book provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling.

Spis treści

Introduction.  Part 1: Commodities Finance.  1. Long Memory and Asymmetry in Commodity Returns and Risk: The Role of Term Spread.  2. The Quantile-Heterogeneous Autoregressive Model of Realized Volatility: New Evidence from Commodity Markets.  3. The Importance of Rollover in Commodity Returns using PARCH models.  Part 2: Mathematical Stochastical Finance.  4. Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models.  5. A nonparametric ACD model.  6. Sovereign debt crisis and economic growth: new evidence for the euro area.  7. On the spot-futures no-arbitrage relations in commodity markets.  8. Compound Hawkes Processes in Limit Order Books.  Part 3: Financial Volatility and Covariance Modelling.  9. Models with Multiplicative Decomposition of Conditional Variances and Correlations.  10. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?.  11. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector.  12. Covariance estimation and quasi-likelihood analysis.  13. The Log-GARCH Model via ARMA Representations

O autorze

Julien Chevallier is Full Professor of Economics at the University Paris 8 (LED), France. He undertakes research and lectures on empirical finance, applied time-series econometrics, and commodity markets. He has published articles in leading refereed journals.

Stephane Goutte is a Maître de Conférences-HDR of Financial Mathematics at University Paris 8, France and Senior Lecturer in Mathematics at University of Luxembourg. He is also a researcher at the Chair European Electricity Markets of Paris Dauphine PSL University.

David Guerreiro is an Assistant Professor of Economics at the University Paris 8 (LED), France. His fields of research are International Macroeconomics, Monetary Economics and Meta-Analysis and he has published in numerous peer-reviewed journals.

Sophie Saglio is an Assistant Professor of Economics at the University Paris 8 (LED), France. Her research focuses on international economics and finance and she has published in various peer-reviewed journals.

Bilel Sanhaji is an Assistant Professor of Economics at the University Paris 8 (LED), France. His main research focuses on nonlinear time series econometrics and modelling volatility. He has published theoretical and applied research papers in various peer-reviewed journals.