Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …

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 …

correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial …

Begriffsbestimmungen und Rahmenbedingungen der Untersuchung -- Theorie der Forward-Preisbildung -- Empirische … der Sicht der ökonomischen Theorie ist bei diesen Handelsinstrumenten insbesondere die Frage der Preisbildung, d.h. wie … untersucht, inwieweit die in der ökonomischen Theorie entwickelten Preisbildungsansätze für Terminkontrakte auf Strom …