This is an advanced text on the theory of forward and futures markets which aims at providing readers with a …

The field of financial econometrics has exploded over the last decade. This book represents an integration of theory …'s Program in Computational Finance. He regularly teaches courses on econometric theory, financial econometrics and time series … leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics …

APARCH, EGARCH und CGARCH Modells). Der Inhalt Semiparametrische Volatilitätsmodelle Hochfrequente und Ultra …

Robustification of an on-line EM algorithm for modelling asset prices within an HMM -- Stochastic volatility or … -- Parameter estimation in a weak hidden Markov model with independent drift and volatility -- Parameter estimation in a regime … science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance …

indices under rank transformation -- Corporate failure -- Review of REIT and MBS -- Experimental economics and the theory of …

Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …