{"product_id":"handbook-of-volatility-models-and-their-applications-9780470872512","title":"Handbook of Volatility Models and Their Applications","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eA complete guide to the theory and practice of volatility models in financial engineering            Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\u003cp\u003e\"Conceived and written by over two-dozen experts in the fi eld, the book cohesively demonstrates how 'volatile' certain statistical decision-making techniques can be when solving a range of financial problems.\" (\u003ci\u003eZentralblatt MATH\u003c\/i\u003e 2016)\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cb\u003e1. Volatility Models 1\u003c\/b\u003e  \u003cp\u003e1.1 Introduction 1\u003c\/p\u003e \u003cp\u003e1.2 GARCH 1\u003c\/p\u003e \u003cp\u003e1.3 Stochastic Volatility 31\u003c\/p\u003e \u003cp\u003e1.4 Realized Volatility 42\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I. ARCH and SV\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2. Nonlinear ARCH Models 63\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 63\u003c\/p\u003e \u003cp\u003e2.2 Standard GARCH model 64\u003c\/p\u003e \u003cp\u003e2.3 Predecessors to Nonlinear GARCH 65\u003c\/p\u003e \u003cp\u003e2.4 Nonlinear ARCH and GARCH 67\u003c\/p\u003e \u003cp\u003e2.5 Testing 76\u003c\/p\u003e \u003cp\u003e2.6 Estimation 81\u003c\/p\u003e \u003cp\u003e2.7 Forecasting 83\u003c\/p\u003e \u003cp\u003e2.8 Multiplicative Decomposition 86\u003c\/p\u003e \u003cp\u003e2.9 Conclusion 88\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3. Mixture and Regime-switching GARCH Models 89\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 89\u003c\/p\u003e \u003cp\u003e3.2 Regime-switching GARCH models 92\u003c\/p\u003e \u003cp\u003e3.3 Stationarity and Moment Structure 102\u003c\/p\u003e \u003cp\u003e3.4 Regime Inference, Likelihood Functions, and Volatility Forecasting 111\u003c\/p\u003e \u003cp\u003e3.5 Application of Mixture GARCH Models 119\u003c\/p\u003e \u003cp\u003e3.6 Conclusion 124\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4. Forecasting High Dimensional Covariance Matrices 129\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 129\u003c\/p\u003e \u003cp\u003e4.2 Notation 130\u003c\/p\u003e \u003cp\u003e4.3 Rolling-Window Forecasts 131\u003c\/p\u003e \u003cp\u003e4.4 Dynamic Models 136\u003c\/p\u003e \u003cp\u003e4.5 High-Frequency Based Forecasts 147\u003c\/p\u003e \u003cp\u003e4.6 Forecast Evaluation 154\u003c\/p\u003e \u003cp\u003e4.7 Conclusion 157\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5. Mean, Volatility and Skewness Spillovers in Equity Markets 159\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 159\u003c\/p\u003e \u003cp\u003e5.2 Data and Summary Statistics 162\u003c\/p\u003e \u003cp\u003e5.3 Empirical Results 171\u003c\/p\u003e \u003cp\u003e5.4 Conclusion 177\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6. Relating Stochastic Volatility Estimation Methods 185\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 185\u003c\/p\u003e \u003cp\u003e6.2 Theory and Methodology 188\u003c\/p\u003e \u003cp\u003e6.3 Comparison of Methods 201\u003c\/p\u003e \u003cp\u003e6.4 Estimating Volatility Models in Practice 209\u003c\/p\u003e \u003cp\u003e6.5 Conclusion 217\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7. Multivariate Stochastic Volatility Models 221\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 221\u003c\/p\u003e \u003cp\u003e7.2 MSV model 223\u003c\/p\u003e \u003cp\u003e7.3 Factor MSV model 231\u003c\/p\u003e \u003cp\u003e7.4 Applications to Stock Indices Returns 237\u003c\/p\u003e \u003cp\u003e7.5 Conclusion 244\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8. Model Selection and Testing of Volatility Models 249\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction 249\u003c\/p\u003e \u003cp\u003e8.2 Model Selection and Testing 252\u003c\/p\u003e \u003cp\u003e8.3 Empirical Example 265\u003c\/p\u003e \u003cp\u003e8.4 Conclusion 277\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II. Other models and methods\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9. Multiplicative Error Models 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction 281\u003c\/p\u003e \u003cp\u003e9.2 Theory and Methodology 283\u003c\/p\u003e \u003cp\u003e9.3 MEM Application 293\u003c\/p\u003e \u003cp\u003e9.4 MEM Extensions 302\u003c\/p\u003e \u003cp\u003e9.5 Conclusion 308\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10. Locally Stationary Volatility Modeling 311\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction 311\u003c\/p\u003e \u003cp\u003e10.2 Empirical evidences 314\u003c\/p\u003e \u003cp\u003e10.3 Locally Stationary Processes 319\u003c\/p\u003e \u003cp\u003e10.4 Locally Stationary Volatility Models 323\u003c\/p\u003e \u003cp\u003e10.5 Multivariate Models for Locally Stationary Volatility 331\u003c\/p\u003e \u003cp\u003e10.6 Conclusion 333\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11. Nonparametric and Semiparametric Volatility Models 335\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 335\u003c\/p\u003e \u003cp\u003e11.2 Nonparametric and Semiparametric Univariate Models 338\u003c\/p\u003e \u003cp\u003e11.3 Nonparametric and Semiparametric Multivariate Volatility Models 354\u003c\/p\u003e \u003cp\u003e11.4 Empirical Analysis 360\u003c\/p\u003e \u003cp\u003e11.5 Conclusion 363\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12. Copula-based Volatility Models 367\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction 367\u003c\/p\u003e \u003cp\u003e12.2 Definition and Properties of Copulas 369\u003c\/p\u003e \u003cp\u003e12.3 Estimation 375\u003c\/p\u003e \u003cp\u003e12.4 Dynamic Copulas 381\u003c\/p\u003e \u003cp\u003e12.5 Value-at-Risk 387\u003c\/p\u003e \u003cp\u003e12.6 Multivariate Static copulas 389\u003c\/p\u003e \u003cp\u003e12.7 Conclusion 395\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III. Realized Volatility\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13. Realized Volatility: Theory and Applications 399\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction 399\u003c\/p\u003e \u003cp\u003e13.2 Modelling Framework 400\u003c\/p\u003e \u003cp\u003e13.3 Issues in Handling Intra-day Transaction Databases 404\u003c\/p\u003e \u003cp\u003e13.4 Realized Variance and Covariance 411\u003c\/p\u003e \u003cp\u003e14.5 Modelling and Forecasting 422\u003c\/p\u003e \u003cp\u003e13.6 Asset Pricing 426\u003c\/p\u003e \u003cp\u003e13.7 Estimating Continuous Time Models 431\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14. Likelihood-Based Volatility Estimators 435\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction 435\u003c\/p\u003e \u003cp\u003e14.2 Volatility Estimation 438\u003c\/p\u003e \u003cp\u003e14.3 Covariance Estimation 447\u003c\/p\u003e \u003cp\u003e14.4 Empirical Application 450\u003c\/p\u003e \u003cp\u003e14.5 Conclusion 452\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15. HAR Modeling for Realized Volatility Forecasting 453\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction 453\u003c\/p\u003e \u003cp\u003e15.2 Stylized Facts 455\u003c\/p\u003e \u003cp\u003e15.3 Heterogeneity and Volatility Persistence 457\u003c\/p\u003e \u003cp\u003e15.4 HAR Extensions 463\u003c\/p\u003e \u003cp\u003e15.5 Multivariate Models 469\u003c\/p\u003e \u003cp\u003e15.6 Applications 473\u003c\/p\u003e \u003cp\u003e15.7 Conclusion 478\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16. Forecasting volatility with MIDAS 481\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Introduction 481\u003c\/p\u003e \u003cp\u003e16.2 MIDAS Regression Models and Volatility Forecasting 482\u003c\/p\u003e \u003cp\u003e16.3 Likelihood-based Methods 492\u003c\/p\u003e \u003cp\u003e16.4 Multivariate Models 505\u003c\/p\u003e \u003cp\u003e16.5 Conclusion 507\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17. Jumps 509\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 Introduction 509\u003c\/p\u003e \u003cp\u003e17.2 Estimators of Integrated Variance and Integrated Covariance 519\u003c\/p\u003e \u003cp\u003e17.3 Testing for the Presence of Jumps 548\u003c\/p\u003e \u003cp\u003e17.4 Conclusion 563\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18. Jumps, Periodicity and Microstructure Noise 565\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Introduction 565\u003c\/p\u003e \u003cp\u003e18.2 Model 568\u003c\/p\u003e \u003cp\u003e18.3 Price Jump Detection Method 570\u003c\/p\u003e \u003cp\u003e18.4 Simulation Study 576\u003c\/p\u003e \u003cp\u003e18.5 Comparison on NYSE-Stock Prices 581\u003c\/p\u003e \u003cp\u003e18.6 Conclusion 583\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19. Volatility Forecasts Evaluation and Comparison 585\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e19.1 Introduction 585\u003c\/p\u003e \u003cp\u003e19.2 Notation 588\u003c\/p\u003e \u003cp\u003e19.3 Single Forecast Evaluation 590\u003c\/p\u003e \u003cp\u003e19.4 Loss Functions and the Latent Variable Problem 593\u003c\/p\u003e \u003cp\u003e19.5 Pairwise Comparison 597\u003c\/p\u003e \u003cp\u003e19.6 Multiple Comparison 601\u003c\/p\u003e \u003cp\u003e19.7 Consistency of the Ordering and Inference on Forecast Performances 607\u003c\/p\u003e \u003cp\u003e19.8 Conclusion 613\u003c\/p\u003e \u003cp\u003eIndex 615\u003c\/p\u003e \u003cp\u003eBibliography 629 \u003c\/p\u003e","brand":"Wiley-Blackwell","offers":[{"title":"Default Title","offer_id":53515419910487,"sku":"9780470872512","price":134.06,"currency_code":"GBP","in_stock":true}],"url":"https:\/\/bookcurl.com\/products\/handbook-of-volatility-models-and-their-applications-9780470872512","provider":"Book Curl","version":"1.0","type":"link"}