دانلود کتاب Financial Mathematics, Volatility and Covariance Modelling: Volume 2

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Cover Half Title Series Page Title Copyright Contents About the editors List of contributors Introduction PART 1 Commodities finance 1 Long memory and asymmetry in commodity returns and risk: the role of term spread 2 The quantile-heterogeneous autoregressive model of realized volatility: new evidence from commodity markets 3 The importance of rollover in commodity returns using PARCH models PART 2 Mathematical stochastical finance 4 Variance and volatility swaps and futures pricing for stochastic volatility models 5 A nonparametric ACD model 6 Sovereign debt crisis and economic growth: new evidence for the euro area 7 On the spot-futures no-arbitrage relations in commodity markets 8 Compound hawkes processes in limit order books PART 3 Financial volatility and covariance modeling 9 Models with multiplicative decomposition of conditional variances and correlations 10 Do high-frequency-based measures improve conditional covariance forecasts? 11 Forecasting realized volatility measures with multivariate and univariate models: the case of the US banking sector 12 Covariance estimation and quasi-likelihood analysis 13 The Log-GARCH model via ARMA representations Index