Contributions to Short-Term Financial Risk Management: Volatility in High Frequency Data, Levy Processes and the Dependence of Jumps - Softcover
Synopsis
This thesis presents instruments and methodologies for fi nancial
risk management applications:
A method of estimating instantaneous volatility from transaction
data is developed. It explicitly accounts for microstructure noise.
Furthermore, an econometric method is introduced which
copes easily with short-term patterns in time series such as the
intraday volatility patterns.
Regarding extreme events, important aspects of Lévy processes
are discussed. A univariate approximation of Student Lévy processes is developed. In the context of multivariate Lévy processes, a modified, unbiased simulation algorithm is presented.
The concept of jump tail dependence is discussed, which
is a property of the Lévy copula. Especially on the short-term
horizon, it is of special relevance for optimal asset allocation.
Asymptotical results are derived, which allow for the estimation
of jump tail dependence.
"synopsis" may belong to another edition of this title.
Search results for Contributions to Short-Term Financial Risk Management:...
Seller Image
Contributions to Short-Term Financial Risk Management: Volatility in High Frequency Data, Levy Processes and the Dependence of Jumps.
Published by
Monsenstein und Vannerdat, 2008
ISBN 10: 3865827780
ISBN 13: 9783865827784
Used
Broschiert
Seller: books4less (Versandantiquariat Petra Gros GmbH & Co. KG), Welling, Germany
Seller rating 5 out of 5 stars
Broschiert. Condition: Gut. 140 Seiten Der Erhaltungszustand des hier angebotenen Werks ist trotz seiner Bibliotheksnutzung sehr sauber und kann entsprechende Merkmale aufweisen (Rückenschild, Instituts-Stempel.). In ENGLISCHER Sprache. Sprache: Englisch Gewicht in Gramm: 235. Seller Inventory # 2298596
Buy Used
US$ 99.91
US$ 11.35 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 1 available
Stock Image
Contributions to Short-Term Financial Risk Management: Volatility in High Frequency Data, Levy Processes and the Dependence of Jumps. Oliver Grothe
Published by
Monsenstein und Vannerdat, 2008
ISBN 10: 3865827780
ISBN 13: 9783865827784
Used
Softcover
Seller: BUCHSERVICE / ANTIQUARIAT Lars Lutzer, Wahlstedt, Germany
Seller rating 5 out of 5 stars
Condition: gut. 2008. Contributions to Short-Term Financial Risk Management: Volatility in High Frequency Data, Levy Processes and the Dependence of Jumps. In deutscher Sprache. pages. Seller Inventory # BN427680
Buy Used
US$ 293.73
US$ 45.59 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: 1 available