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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …
Persistent link: https://www.econbiz.de/10013521005
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Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
Gregoriou, Greg N. (ed.); Pascalau, Razvan (ed.) - 2011
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets
Persistent link: https://www.econbiz.de/10012053890
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The Dynamics of Emerging Stock Markets : Empirical Assessments and Implications
Arouri, Mohamed - 2010
Stock Market Efficiency.- Chapter 6 Stock Market Volatility.- Chapter 7 Globalization and Market Integration.- Chapter 8 …
Persistent link: https://www.econbiz.de/10013521320
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Marktqualität und Insiderhandel auf Kapitalmärkten : Eine experimentelle Untersuchung unterschiedlicher Handelsformen
Hinterleitner, Gernot - 2016
geschlechtsspezifische Unterschiede sichtbar, wenn das Risiko der Aufdeckung abgeschätzt wird. Der Inhalt · Marktformen an Wertpapierbörsen …
Persistent link: https://www.econbiz.de/10014020576
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences …
Persistent link: https://www.econbiz.de/10013520959
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Artificial Market Experiments with the U-Mart System
Shiozawa, Yoshinori - 2008
Persistent link: https://www.econbiz.de/10013521078
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Crisis, Risk and Stability in Financial Markets
Guevara Radoselovics, Juan Fernández de (ed.);  … - 2013
This book presents an in-depth appreciation of key topics related to the behaviour of financial institutions in the crisis and stresses areas of major research interest. It covers a selection of papers specialising ranging from the analysis of bank and stock market performance in the crisis, to...
Persistent link: https://www.econbiz.de/10012106301
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Bubbles and Contagion in Financial Markets, Volume 1 : An Integrative View
Porras, Eva R. - 2016
Asset bubbles and contagion have had a profound effect on the financial markets after the financial and sovereign debt crises. This book takes a quantitative approach to examining these phenomena and will appeal to practitioners who need to understand the repercussions of these events on trading...
Persistent link: https://www.econbiz.de/10012397881
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Asset Prices, Booms and Recessions : Financial Economics from a Dynamic Perspective
Semmler, Willi - 2011
-- The Credit Market and Economic Activity: Theories on Credit Market, Credit Risk and Economic Activity -- Empirical Tests …: Static Portfolio Theory: CAPM and Extentsions -- Consumption Based Asset Pricing Models -- Asset Pricing Models with … -- Exchange Rate Shocks, Financial Crisis and Output Loss -- International Portfolio and the Diversification of Risk …
Persistent link: https://www.econbiz.de/10013522915
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Macroeconomics : A Fresh Start
Dorman, Peter - 2014
The world has changed dramatically in recent years and so has the field of economics, but many introductory economics textbooks have remained stuck in the past. This book provides a new beginning for the study of macroeconomics, fundamentally international in its approach and emphasizing current...
Persistent link: https://www.econbiz.de/10013523129