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Alternative Assets and Cryptocurrencies
| Alternative Assets and Cryptocurrencies |
| Autore | Hafner Christian |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2019 |
| Descrizione fisica | 1 electronic resource (218 p.) |
| Disciplina | 332 |
| Soggetto topico | Finance |
| Soggetto non controllato |
inflation propensity
realized volatility portfolio modelling diamond stocks systemic risk cryptocurrencies initial coin offering smooth transition investment asset GARCH risk management transaction costs liquidity costs time series Baltic dry index statistical arbitrage volume cryptocurrency Hashrate blockchain diamond prices pro-cyclical volatility capital asset pricing model Bitcoin volatility trend prediction collatz conjecture high-frequency finance sentiment geometric distribution speculative bubbles gold classification framework limit order book venture capital proof-of-work high frequency Bitcoin machine learning metric learning stylized fact digital currency crowdfunding HAR GARCH-MIDAS bitcoin |
| ISBN | 3-03897-979-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910346835503321 |
Hafner Christian
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| MDPI - Multidisciplinary Digital Publishing Institute, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Asset Pricing, Investment, and Trading Strategies
| Asset Pricing, Investment, and Trading Strategies |
| Autore | Wong Wing-Keung |
| Pubbl/distr/stampa | Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 |
| Descrizione fisica | 1 electronic resource (154 p.) |
| Soggetto topico | Development economics & emerging economies |
| Soggetto non controllato |
quantile
correlogram dependence predictability market efficiency state ownership risk-taking behavior investment Vietnam GMM nonlinearity trading strategy trade-offs transport operations competitiveness sustainability growth ARDL stock exchange capitalization turnover value traded agricultural commodity future prices extreme value NON-stationary Extreme Value Analysis (NEVA) Newton-optimal method high-frequency data market liquidity sovereign bonds spillover backwardation economic regimes momentum strategy systematic trading jumps identification swap variance integrated volatility realized volatility |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557610603321 |
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Wong Wing-Keung
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| Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Efficiency and Anomalies in Stock Markets
| Efficiency and Anomalies in Stock Markets |
| Autore | Wong Wing-Keung |
| Pubbl/distr/stampa | Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 |
| Descrizione fisica | 1 electronic resource (232 p.) |
| Soggetto topico | Development economics & emerging economies |
| Soggetto non controllato |
stochastic dominance
Omega ratio risk averters risk seekers utility maximization market efficiency anomaly emerging markets KSE Pakistan three-factor model size and value premiums future economic growth liquidity proxy emerging market transaction cost price impact efficient market economic policy uncertainty random walk news Asian market G7 market real exchange rate volatility financial development economic growth Put–Call Ratio volume open interest frequency-domain roiling causality convertible bond financial constraints stock performance Autoregressive Model non-Gaussian error realized volatility Threshold Autoregressive Model value premium technical analysis moving average China stock market stock market finance applications EMH anomalies Behavioral Finance Winner–Loser Effect Momentum Effect calendar anomalies BM effect the size effect Disposition Effect Equity Premium Puzzle herd effect ostrich effect bubbles trading rules overconfidence utility portfolio selection portfolio optimization risk measures performance measures indifference curves two-moment decision models dynamic models diversification behavioral models unit root cointegration causality nonlinearity covariance copulas robust estimation anchoring |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910674048203321 |
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Wong Wing-Keung
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| Basel, : MDPI - Multidisciplinary Digital Publishing Institute, 2022 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Financial Econometrics
| Financial Econometrics |
| Autore | Tse Yiu-Kuen |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2019 |
| Descrizione fisica | 1 electronic resource (136 p.) |
| Soggetto non controllato |
tuning parameter choice
Markov process model averaging steady state distributions realized volatility threshold risk prices threshold auto-regression bond risk premia linear programming estimator volatility forecasting Bayesian inference asset price bubbles stationarity deviance information criterion model selection probability integral transform forecast comparisons Markov-Chain Monte Carlo explosive regimes multivariate nonlinear time series Tukey's power transformation affine term structure models Mallows criterion nonlinear nonnegative autoregression TVAR models stochastic conditional duration shrinkage |
| ISBN | 3-03921-627-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910367753203321 |
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Tse Yiu-Kuen
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| MDPI - Multidisciplinary Digital Publishing Institute, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic Processes with Applications
| Stochastic Processes with Applications |
| Autore | Macci Claudio |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2019 |
| Descrizione fisica | 1 electronic resource (284 p.) |
| Soggetto non controllato |
arithmetic progressions
weighted quadratic variation fractional differential-difference equations small deviations periodic intensity functions realized volatility rate of convergence host-parasite interaction first Chebyshev function regularly varying functions Cohen and Grossberg neural networks mixture of Gaussian laws diffusion model transition densities re-service Strang–Marchuk splitting approach random delays nematode infection first-passage-time total variation distance forecast combinations products of primes discrete time stochastic model multiplicative noises slowly varying functions growth curves stochastic process loan interest rate regulation birth-death process non-Markovian queue catastrophes exogenous factors seasonal environment repairs proportional hazard rates structural breaks transient probabilities first passage time (FPT) bounds double-ended queues mixed Gaussian process stochastic order time between inspections busy period diffusion continuous-time Markov chains general bulk service time-non-homogeneous birth-death processes stand-by server reliability sensor networks random impulses scale family of distributions maximum likelihood estimation multi-state network totally positive of order 2 lognormal diffusion process fractional birth-death processes exact asymptotics stochastic orders time-non-homogeneous jump-diffusion processes asymptotic distribution inverse first-passage problem nonhomogeneous Poisson process two-dimensional signature multiple vacation first-passage time mean square stability fractional queues differential entropy random parameter matrices Wasserstein distance breakdown and repair fusion estimation |
| ISBN | 3-03921-729-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910367741003321 |
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Macci Claudio
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| MDPI - Multidisciplinary Digital Publishing Institute, 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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