Financial Mathematics, Volatility and Covariance Modelling: Volume 2, 1st Edition (Hardback) book cover

Financial Mathematics, Volatility and Covariance Modelling

Volume 2, 1st Edition

Edited by Julien Chevallier, Stephane Goutte, David Guerreiro, Sophie Saglio, Bilel Sanhaji

Routledge

260 pages

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Hardback: 9781138060944
pub: 2019-05-01
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Description

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics.

Financial Mathematics, Volatility and Covariance Modelling: Volume II provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics

This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Table of Contents

List of Contributors

Introduction

Section I: Mathematical Stochastical Finance

1. Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models

Anatoliy Swishchuk, Zijia Wang

2. A nonparametric ACD model

Antonio Cosma, Fausto Galli

3. Sovereign debt crisis and economic growth: new evidence for the euro area

Iuliana Matei

4. On the spot-futures no-arbitrage relations in commodity markets

René Aïd, Luciano Campi, Delphine Lautier

5. Compound Hawkes Processes in Limit Order Books

Anatoliy Swishchuk, Bruno Remillard, Robert Elliott, Jonathan Chavez-Casillas

Section II: Financial Volatility and Covariance Modelling

6. Models with Multiplicative Decomposition of Conditional Variances and Correlations

Cristina Amado, Annastiina Silvennoinen, Timo Teräsvirta

7. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?

Denisa Banulescu-Radu, Elena Dumitrescu

8. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector

Gianluca Cubadda, Alain Hecq, Antonio Riccardo

9. Covariance estimation and quasi-likelihood analysis

Yuta Koike, Nakahiro Yoshida

10. The Log-GARCH Model via ARMA Representations

Genaro Sucarrat

About the Editors

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 journal.

About the Series

Routledge Advances in Applied Financial Econometrics

The Routledge Advances in Applied Financial Econometrics series brings together the latest research on econometric techniques and empirical cases in the fields of fields of commodities finance, mathematics and stochastics, international macroeconomics and financial econometrics. It provides a single repository on the current state of knowledge, the latest debates and recent literature in the field.

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Subject Categories

BISAC Subject Codes/Headings:
BUS000000
BUSINESS & ECONOMICS / General
BUS021000
BUSINESS & ECONOMICS / Econometrics