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

Grothe, Oliver

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

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Editore
Monsenstein und Vannerdat
Data di pubblicazione
2008
Lingua
Inglese
ISBN 10 
3865827780
ISBN 13 
9783865827784
Rilegatura
Taschenbuch
Numero edizione
1
Numero di pagine
140
Contatto del produttore
non disponibile
Persona responsabile
non disponibile