Modelling and Forecasting High Frequency Financial Data
The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulenc...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
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London :
Palgrave Macmillan UK : Imprint: Palgrave Macmillan
2015.
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| Colección: | Springer eBooks.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b36161640*spi |
Tabla de Contenidos:
- Chapter 1: Introduction to High Frequency Financial Modelling
- Chapter 2: Intra-day Realized Volatility Measures
- Chapter 3: Methods of Volatility Estimation and Forecasting
- Chapter 4: Multiple Model Comparison and Hypothesis Framework Construction
- Chapter 5: Realized Volatility Forecasting - Applications
- Chapter 6: Recent Methods: A Review
- Chapter 7: Intraday Hedge Ratios & Option Pricing.
