Discrete Time Series, Processes, and Applications in Finance

Gilles Zumbach ()
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Gilles Zumbach: Consulting in Financial Research

in Springer Finance from Springer, currently edited by Francesca Biagini, Bruno Bouchard, Mark Broadie, Paolo Guasoni, Charles-Albert Lehalle, Mathieu Rosenbaum

Date: 2013
Edition: 2013
ISBN: 978-3-642-31742-2
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Chapters in this book:

Ch Chapter 1 Introduction

Gilles Zumbach

Ch Chapter 10 Price and Volatility Using High-Frequency Data

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Ch Chapter 11 Time-Reversal Asymmetry

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Ch Chapter 12 Characterizing Heteroscedasticity

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Ch Chapter 13 The Innovation Distributions

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Ch Chapter 14 Leverage Effect

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Ch Chapter 15 Processes and Market Risk Evaluation

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Ch Chapter 16 Option Pricing

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Ch Chapter 17 The Empirical Properties of Large Covariance Matrices

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Ch Chapter 18 Multivariate ARCH Processes

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Ch Chapter 19 The Processes Compatible with the Stylized Facts

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Ch Chapter 2 Notation, Naming, and General Definitions

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Ch Chapter 20 Further Thoughts

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Ch Chapter 3 Stylized Facts

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Ch Chapter 4 Empirical Mug Shots

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Ch Chapter 5 Process Overview

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Ch Chapter 6 Logarithmic Versus Relative Random Walks

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Ch Chapter 7 ARCH Processes

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Ch Chapter 8 Stochastic Volatility Processes

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Ch Chapter 9 Regime-Switching Process

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DOI: 10.1007/978-3-642-31742-2

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