, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance …1. Introduction -- 2. ARMA models -- 3. Forecasting stationary processes -- 4. Estimation of Mean and Autocovariance … Function -- 5.Estimation of ARMA Models -- 6. Spectral Analysis and Linear Filters -- 7. Integrated Processes -- 8. Models of …

-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring …

as well as the considerations of catastrophic risk and extremal events. Leading experts address questions of economic … governance, risk management, policy decision making and distribution across time and space …Part I. Catastrophic risk in economic theory -- Catastrophic Risk, Rare Events, and Black Swans: Toward an Alternative …

Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk …-Hochfrequente Finanzdaten Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle Analyse von …

Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code. …In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in … particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she …