Discrete Time Series, Processes, and Applications in Finance

Authors:

ISBN: 978-3-642-31741-5 (Print) 978-3-642-31742-2 (Online)

Table of contents (20 chapters)

  1. Front Matter

    Pages I-XXI

  2. No Access

    Book Chapter

    Pages 1-5

    Introduction

  3. No Access

    Book Chapter

    Pages 7-16

    Notation, Naming, and General Definitions

  4. No Access

    Book Chapter

    Pages 17-47

    Stylized Facts

  5. No Access

    Book Chapter

    Pages 49-55

    Empirical Mug Shots

  6. No Access

    Book Chapter

    Pages 57-67

    Process Overview

  7. No Access

    Book Chapter

    Pages 69-84

    Logarithmic Versus Relative Random Walks

  8. No Access

    Book Chapter

    Pages 85-128

    ARCH Processes

  9. No Access

    Book Chapter

    Pages 129-141

    Stochastic Volatility Processes

  10. No Access

    Book Chapter

    Pages 143-145

    Regime-Switching Process

  11. No Access

    Book Chapter

    Pages 147-161

    Price and Volatility Using High-Frequency Data

  12. No Access

    Book Chapter

    Pages 163-179

    Time-Reversal Asymmetry

  13. No Access

    Book Chapter

    Pages 181-196

    Characterizing Heteroscedasticity

  14. No Access

    Book Chapter

    Pages 197-203

    The Innovation Distributions

  15. No Access

    Book Chapter

    Pages 205-209

    Leverage Effect

  16. No Access

    Book Chapter

    Pages 211-231

    Processes and Market Risk Evaluation

  17. No Access

    Book Chapter

    Pages 233-255

    Option Pricing

  18. No Access

    Book Chapter

    Pages 257-272

    The Empirical Properties of Large Covariance Matrices

  19. No Access

    Book Chapter

    Pages 273-294

    Multivariate ARCH Processes

  20. No Access

    Book Chapter

    Pages 295-298

    The Processes Compatible with the Stylized Facts

  21. No Access

    Book Chapter

    Pages 299-307

    Further Thoughts

  22. Back Matter

    Pages 309-319