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 2 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
About the Editors
List of Contributors
Part 1: Commodities Finance
1. Long Memory and Asymmetry in Commodity Returns and Risk: The Role of Term Spread, Steven J. Cochran, Iqbal Mansur and Babatunde Odusami
2. The Quantile-Heterogeneous Autoregressive Model of Realized Volatility: New Evidence from Commodity Markets, Konstantin Kick and Robert Maderitsch
3. The Importance of Rollover in Commodity Returns using PARCH models, M.G. Karanasos, P. D. Koutroumpis, Z. N. P. Margaronis and R. B. Nath
Part 2: Mathematical Stochastical Finance
4. Variance and Volatility Swaps and Futures Pricing for Stochastic Volatility Models, Anatoliy Swishchuk, Zijia Wang
5. A nonparametric ACD model, Antonio Cosma, Fausto Galli
6. Sovereign debt crisis and economic growth: new evidence for the euro area, Iuliana Matei
7. On the spot-futures no-arbitrage relations in commodity markets, René Aïd, Luciano Campi, Delphine Lautier
8. Compound Hawkes Processes in Limit Order Books, Anatoliy Swishchuk, Bruno Remillard, Robert Elliott, Jonathan Chavez-Casillas
Part 3: Financial Volatility and Covariance Modelling
9. Models with Multiplicative Decomposition of Conditional Variances and Correlations, Cristina Amado, Annastiina Silvennoinen, Timo Teräsvirta
10. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?, Denisa Banulescu-Radu, Elena Dumitrescu
11. Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of the US Banking Sector, Gianluca Cubadda, Alain Hecq, Antonio Riccardo
12. Covariance estimation and quasi-likelihood analysis, Yuta Koike, Nakahiro Yoshida
13. The Log-GARCH Model via ARMA Representations, Genaro Sucarrat
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.