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Quantitative methods for economics and finance

Trinidad Segovia, Juan Evangelista (contributor); … - 2021

mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic …

Persistent link: https://www.econbiz.de/10012606041

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and …

Persistent link: https://www.econbiz.de/10012022240

Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999

Chan, Wai-Sum (contributor); Li, Wai Keung (contributor); … - International Workshop on Statistics and Finance <1999, … - 2000

Persistent link: https://www.econbiz.de/10001490756

Statistics and finance : an introduction

Ruppert, David - 2004

This textbook emphasizes the applications of statistics and probability to finance. Students are assumed to have had a prior course in statistics, but no background in finance or economics. The basics of probability and statistics are reviewed and more advanced topics in statistics, such as...

Persistent link: https://www.econbiz.de/10001805902

A practical guide to forecasting : financial markets volatility

Poon, Ser-Huang - 2005

Persistent link: https://www.econbiz.de/10013489917

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 …