-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … applications used in many areas like risk evaluation, option pricing or portfolio construction. The statistical tools used to … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price … stochastic optimal control (SOC)/dynamic risk management is a much more effective approach to determine the optimal degree of … leverage, the optimum and excessive risk and the probability of a debt crisis. The theoretically founded early warning signals …