Contributions to Short-Term Financial Risk Management: Volatility in High Frequency Data, Levy Processes and the Dependence of Jumps - Couverture souple

Grothe, Oliver

 
9783865827784: Contributions to Short-Term Financial Risk Management: Volatility in High Frequency Data, Levy Processes and the Dependence of Jumps
Couverture souple
ISBN 10 : 3865827780 ISBN 13 : 9783865827784
Editeur : Monsenstein und Vannerdat, 2008

Synopsis

This thesis presents instruments and methodologies for fi nancial
risk management applications:

A method of estimating instantaneous volatility from transaction
data is developed. It explicitly accounts for microstructure noise.
Furthermore, an econometric method is introduced which
copes easily with short-term patterns in time series such as the
intraday volatility patterns.

Regarding extreme events, important aspects of Lévy processes
are discussed. A univariate approximation of Student Lévy processes is developed. In the context of multivariate Lévy processes, a modified, unbiased simulation algorithm is presented.
The concept of jump tail dependence is discussed, which
is a property of the Lévy copula. Especially on the short-term
horizon, it is of special relevance for optimal asset allocation.
Asymptotical results are derived, which allow for the estimation
of jump tail dependence.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Monsenstein und Vannerdat
Date d'édition
2008
Langue
anglais
ISBN 10 
3865827780
ISBN 13 
9783865827784
Reliure
Taschenbuch
Numéro d'édition
1
Nombre de pages
140
Coordonnées du fabricant
non disponible
Personne responsable
non disponible