370 pages | 121 B/W Illus.
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.
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
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.