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Applied stochastic models in business and industry
| Applied stochastic models in business and industry |
| Pubbl/distr/stampa | [Chichester], : John Wiley & Sons, ©1999- |
| Descrizione fisica | 1 online resource |
| Disciplina | 519 |
| Soggetto topico |
Stochastic analysis
Stochastic processes Business mathematics Finance - Mathematical models Industrial management - Mathematical models Industrial statistics Commercial statistics Analyse stochastique Processus stochastiques Statistique industrielle Statistique commerciale Mathématiques financières Finances - Modèles mathématiques Gestion d'entreprise - Modèles mathématiques Business (General) Decision Science Stochastic Processes Industrial Management |
| Soggetto genere / forma | Periodicals. |
| Soggetto non controllato | Mathematical Statistics |
| ISSN | 1526-4025 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996211928803316 |
| [Chichester], : John Wiley & Sons, ©1999- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
ARCH models for financial applications [[electronic resource] /] / Evdokia Xekalaki, Stavros Degiannakis
| ARCH models for financial applications [[electronic resource] /] / Evdokia Xekalaki, Stavros Degiannakis |
| Autore | Xekalaki Evdokia |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (560 p.) |
| Disciplina |
332.015195
332.01519536 |
| Altri autori (Persone) | DegiannakisStavros |
| Soggetto topico |
Finance - Mathematical models
Autoregression (Statistics) |
| ISBN |
1-282-54774-7
9786612547744 0-470-68801-7 0-470-68802-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
ARCH Models for Financial Applications; Contents; Preface; Notation; 1 What is an ARCH process?; 1.1 Introduction; 1.2 The autoregressive conditionally heteroscedastic process; 1.3 The leverage effect; 1.4 The non-trading period effect; 1.5 The non-synchronous trading effect; 1.6 The relationship between conditional variance and conditional mean; 1.6.1 The ARCH in mean model; 1.6.2 Volatility and serial correlation; 2 ARCH volatility specifications; 2.1 Model specifications; 2.2 Methods of estimation; 2.2.1 Maximum likelihood estimation; 2.2.2 Numerical estimation algorithms
2.2.3 Quasi-maximum likelihood estimation2.2.4 Other estimation methods; 2.3 Estimating the GARCH model with EViews 6: an empirical example; 2.4 Asymmetric conditional volatility specifications; 2.5 Simulating ARCH models using EViews; 2.6 Estimating asymmetric ARCH models with G@RCH 4.2 OxMetrics: an empirical example; 2.7 Misspecification tests; 2.7.1 The Box-Pierce and Ljung-Box Q statistics; 2.7.2 Tse's residual based diagnostic test for conditional heteroscedasticity; 2.7.3 Engle's Lagrange multiplier test; 2.7.4 Engle and Ng's sign bias tests 2.7.5 The Breusch-Pagan, Godfrey, Glejser, Harvey and White tests2.7.6 The Wald, likelihood ratio and Lagrange multiplier tests; 2.8 Other ARCH volatility specifications; 2.8.1 Regime-switching ARCH models; 2.8.2 Extended ARCH models; 2.9 Other methods of volatility modelling; 2.10 Interpretation of the ARCH process; Appendix; 3 Fractionally integrated ARCH models; 3.1 Fractionally integrated ARCH model specifications; 3.2 Estimating fractionally integrated ARCH models using G@RCH 4.2 OxMetrics: an empirical example 3.3 A more detailed investigation of the normality of the standardized residuals: goodness-of-fit tests3.3.1 EDF tests; 3.3.2 Chi-square tests; 3.3.3 QQ plots; 3.3.4 Goodness-of-fit tests using EViews and G@RCH; Appendix; 4 Volatility forecasting: an empirical example using EViews 6; 4.1 One-step-ahead volatility forecasting; 4.2 Ten-step-ahead volatility forecasting; Appendix; 5 Other distributional assumptions; 5.1 Non-normally distributed standardized innovations 5.2 Estimating ARCH models with non-normally distributed standardized innovations using G@RCH 4.2 OxMetrics: an empirical example5.3 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: an empirical example; 5.4 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: the logl object; Appendix; 6 Volatility forecasting: an empirical example using G@RCH Ox; Appendix; 7 Intraday realized volatility models; 7.1 Realized volatility; 7.2 Intraday volatility models 7.3 Intraday realized volatility andARFIMAXmodels in G@RCH 4.2 OxMetrics: an empirical example |
| Record Nr. | UNINA-9910140611403321 |
Xekalaki Evdokia
|
||
| Chichester ; ; Hoboken, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
ARCH models for financial applications / / Evdokia Xekalaki, Stavros Degiannakis
| ARCH models for financial applications / / Evdokia Xekalaki, Stavros Degiannakis |
| Autore | Xekalaki Evdokia |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (560 p.) |
| Disciplina |
332.015195
332.01519536 |
| Altri autori (Persone) | DegiannakisStavros |
| Soggetto topico |
Finance - Mathematical models
Autoregression (Statistics) |
| ISBN |
1-282-54774-7
9786612547744 0-470-68801-7 0-470-68802-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
ARCH Models for Financial Applications; Contents; Preface; Notation; 1 What is an ARCH process?; 1.1 Introduction; 1.2 The autoregressive conditionally heteroscedastic process; 1.3 The leverage effect; 1.4 The non-trading period effect; 1.5 The non-synchronous trading effect; 1.6 The relationship between conditional variance and conditional mean; 1.6.1 The ARCH in mean model; 1.6.2 Volatility and serial correlation; 2 ARCH volatility specifications; 2.1 Model specifications; 2.2 Methods of estimation; 2.2.1 Maximum likelihood estimation; 2.2.2 Numerical estimation algorithms
2.2.3 Quasi-maximum likelihood estimation2.2.4 Other estimation methods; 2.3 Estimating the GARCH model with EViews 6: an empirical example; 2.4 Asymmetric conditional volatility specifications; 2.5 Simulating ARCH models using EViews; 2.6 Estimating asymmetric ARCH models with G@RCH 4.2 OxMetrics: an empirical example; 2.7 Misspecification tests; 2.7.1 The Box-Pierce and Ljung-Box Q statistics; 2.7.2 Tse's residual based diagnostic test for conditional heteroscedasticity; 2.7.3 Engle's Lagrange multiplier test; 2.7.4 Engle and Ng's sign bias tests 2.7.5 The Breusch-Pagan, Godfrey, Glejser, Harvey and White tests2.7.6 The Wald, likelihood ratio and Lagrange multiplier tests; 2.8 Other ARCH volatility specifications; 2.8.1 Regime-switching ARCH models; 2.8.2 Extended ARCH models; 2.9 Other methods of volatility modelling; 2.10 Interpretation of the ARCH process; Appendix; 3 Fractionally integrated ARCH models; 3.1 Fractionally integrated ARCH model specifications; 3.2 Estimating fractionally integrated ARCH models using G@RCH 4.2 OxMetrics: an empirical example 3.3 A more detailed investigation of the normality of the standardized residuals: goodness-of-fit tests3.3.1 EDF tests; 3.3.2 Chi-square tests; 3.3.3 QQ plots; 3.3.4 Goodness-of-fit tests using EViews and G@RCH; Appendix; 4 Volatility forecasting: an empirical example using EViews 6; 4.1 One-step-ahead volatility forecasting; 4.2 Ten-step-ahead volatility forecasting; Appendix; 5 Other distributional assumptions; 5.1 Non-normally distributed standardized innovations 5.2 Estimating ARCH models with non-normally distributed standardized innovations using G@RCH 4.2 OxMetrics: an empirical example5.3 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: an empirical example; 5.4 Estimating ARCH models with non-normally distributed standardized innovations using EViews 6: the logl object; Appendix; 6 Volatility forecasting: an empirical example using G@RCH Ox; Appendix; 7 Intraday realized volatility models; 7.1 Realized volatility; 7.2 Intraday volatility models 7.3 Intraday realized volatility andARFIMAXmodels in G@RCH 4.2 OxMetrics: an empirical example |
| Record Nr. | UNINA-9910814422003321 |
|
Xekalaki Evdokia
|
||
| Chichester ; ; Hoboken, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The art and science of financial modeling / / Anurag Singal
| The art and science of financial modeling / / Anurag Singal |
| Autore | Singal Anurag |
| Pubbl/distr/stampa | New York, NY : , : Business Expert Press, , 2018 |
| Descrizione fisica | 1 online resource (122 pages) |
| Disciplina | 332.015195 |
| Collana | Finance and Financial Management Collection |
| Soggetto topico | Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-948976-95-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910466608103321 |
|
Singal Anurag
|
||
| New York, NY : , : Business Expert Press, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The art and science of financial modeling / / Anurag Singal
| The art and science of financial modeling / / Anurag Singal |
| Autore | Singal Anurag |
| Pubbl/distr/stampa | New York, NY : , : Business Expert Press, , 2018 |
| Descrizione fisica | 1 online resource (122 pages) |
| Disciplina | 332.015195 |
| Collana | Finance and Financial Management Collection |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 1-948976-95-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910793136003321 |
|
Singal Anurag
|
||
| New York, NY : , : Business Expert Press, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The art and science of financial modeling / / Anurag Singal
| The art and science of financial modeling / / Anurag Singal |
| Autore | Singal Anurag |
| Pubbl/distr/stampa | New York, NY : , : Business Expert Press, , 2018 |
| Descrizione fisica | 1 online resource (122 pages) |
| Disciplina | 332.015195 |
| Collana | Finance and Financial Management Collection |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 1-948976-95-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910814198403321 |
|
Singal Anurag
|
||
| New York, NY : , : Business Expert Press, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The art of quantitative finance . Volume 2 : volatilities, stochastic analysis and valuation tools / / Gerhard Larcher
| The art of quantitative finance . Volume 2 : volatilities, stochastic analysis and valuation tools / / Gerhard Larcher |
| Autore | Larcher Gerhard |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer International Publishing, , [2023] |
| Descrizione fisica | 1 online resource (363 pages) |
| Disciplina | 332.015195 |
| Collana | Springer Texts in Business and Economics |
| Soggetto topico |
Finance - Mathematical models
Financial risk management - Data processing |
| ISBN | 3-031-23870-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Volatilities -- Extensions of the Black-Scholes theory to other types of options (futures options, currency options, American options, path-dependent options, multi-asset options) -- Fundamentals: stochastic analysis and applications, interest rate dynamics, and basic principles of pricing interest rate derivatives. |
| Record Nr. | UNINA-9910683341103321 |
|
Larcher Gerhard
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| Cham, Switzerland : , : Springer International Publishing, , [2023] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The art of quantitative finance . Volume 3. : risk, optimal portfolios, and case studies / / Gerhard Larcher
| The art of quantitative finance . Volume 3. : risk, optimal portfolios, and case studies / / Gerhard Larcher |
| Autore | Larcher Gerhard |
| Edizione | [1st ed. 2023.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2023] |
| Descrizione fisica | 1 online resource (380 pages) |
| Disciplina | 332.015195 |
| Collana | Springer Texts in Business and Economics |
| Soggetto topico |
Finance - Mathematical models
Financial risk management Portfolio management |
| ISBN |
9783031238673
9783031238666 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Risk measurement and credit risk management -- Optimal investment problems -- Case studies. |
| Record Nr. | UNINA-9910698640703321 |
|
Larcher Gerhard
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| Cham, Switzerland : , : Springer, , [2023] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor
| Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
| Autore | Taylor Stephen (Stephen J.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
| Descrizione fisica | 1 online resource (988 p.) |
| Disciplina | 332.60151962 |
| Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910458979403321 |
|
Taylor Stephen (Stephen J.)
|
||
| Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor
| Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
| Autore | Taylor Stephen (Stephen J.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
| Descrizione fisica | 1 online resource (988 p.) |
| Disciplina | 332.60151962 |
| Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
| ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910791867203321 |
|
Taylor Stephen (Stephen J.)
|
||
| Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
