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Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

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The Volatility course workbook : step-by-step exercises to help you master the volatility course

Fontanills, George A.; Gentile, Tom - 2003

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Fontanills, George A.; Gentile, Tom - 2003

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Asset price dynamics, volatility, and prediction

Taylor, Stephen J.; Taylor, Stephen - 2005

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Analytically tractable stochastic stock price models

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GARCH models : structure, statistical inference and financial applications

Francq, Christian; Zakoïan, Jean-Michel - 2019 - Second edition

Cover -- Title Page -- Copyright -- Contents -- Chapter 1 Classical Time Series Models and Financial Series -- 1.1 Stationary Processes -- 1.2 ARMA and ARIMA Models -- 1.3 Financial Series -- 1.4 Random Variance Models -- 1.5 Bibliographical Notes -- 1.6 Exercises -- Part I Univariate GARCH...