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 …

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov …

empirisch beobachtete Abweichung von der ungedeckten Zinsparität beim US-Dollar/Euro-Wechselkurs erklären kann. Außerdem …

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

-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … Random Field (RF) models are used to model the dynamics of entire yield curves. The USV models postulate a correlation … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …