-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 …

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can … recent crises. Overestimated risk, on the other side, may have negative effects on a company's capital requirements …. Companies as well as national authorities thus have a strong interest in developing market risk models that correctly quantify …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

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 …