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Mathematical Finance with Applications
| Mathematical Finance with Applications |
| Autore | Wong Wing-Keung |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 online resource (232 p.) |
| Soggetto topico | Collecting coins, banknotes, medals and other related items |
| Soggetto non controllato |
applications
artificial neural network auto-regressive integrated moving average bivariate first-degree stochastic dominance (BFSD) capital structure causality tests chi-square test Chinese stock market crash cluster analysis conditional value-at-risk copulas correlation loving (CL) CVaR CVaR estimation density functions dependence structures deviation distribution functions equity index networks equity option pricing error ES expected shortfall factor models finance financial models firm performance hedge ratios investment home bias (IHB) jumps keeping up with the Joneses (KUJ) leverage linear programming linear regression long-term debt machine learning mathematics minimization multi-factor model OLS and ridge regression model optimal weights portfolio safeguard probability PSG python quadrangle quantile quotient of random variables regression regret return spillover risk risk factors shock spillover statistics stochastic process-geometric Brownian motion stochastic volatility stock price prediction superquantile US financial crisis VaR volatility spillover |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557703703321 |
Wong Wing-Keung
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data
| Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data |
| Autore | Swanson Norman R |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 |
| Descrizione fisica | 1 online resource (196 p.) |
| Soggetto topico | Economics, Finance, Business and Management |
| Soggetto non controllato |
bivariate GARCH
combining forecasts cross-sectional stock returns dynamic analysis of securities forecasting high-frequency high-frequency data integrated volatility intraday returns Japanese candlestick jumps Kosiński's number level, slope, and curvature of the yield curve log periodogram regression long-range dependence maximum diversification Minimum variance portfolio Nelson-Siegel factors ordered fuzzy number oriented fuzzy number P 500 portfolio selection principal components realized measures realized skewness regularization risk S& shrinkage signed jump variation smoothed periodogram subsampling supervised factor models volatility |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557897503321 |
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Swanson Norman R
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2021 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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