Financial Mathematics, Volatility and Covariance Modelling: Volume 2

Cover
Half Title
Series Page
Title
Copyright
Contents
About the editors
List of contributors
Introduction
PART 1 Commodities finance
	1 Long memory and asymmetry in commodity returns and risk: the role of term spread
	2 The quantile-heterogeneous autoregressive model of realized volatility: new evidence from commodity markets
	3 The importance of rollover in commodity returns using PARCH models
PART 2 Mathematical stochastical finance
	4 Variance and volatility swaps and futures pricing for stochastic volatility models
	5 A nonparametric ACD model
	6 Sovereign debt crisis and economic growth: new evidence for the euro area
	7 On the spot-futures no-arbitrage relations in commodity markets
	8 Compound hawkes processes in limit order books
PART 3 Financial volatility and covariance modeling
	9 Models with multiplicative decomposition of conditional variances and correlations
	10 Do high-frequency-based measures improve conditional covariance forecasts?
	11 Forecasting realized volatility measures with multivariate and univariate models: the case of the US banking sector
	12 Covariance estimation and quasi-likelihood analysis
	13 The Log-GARCH model via ARMA representations
Index