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An introduction to high-frequency finance / Michel M. Dacorogna, Ramazan Gencay, Ulric A. Müller, Richard B. Olsen, Olivier V. Pictet

Por: Dacorogna, Michel D.
Colaborador(es): Gencay, Ramazan [Autor] | Müller, Ulrich A [Autor].
Tipo de material: materialTypeLabelLibroEditor: San Diego (Estados Unidos) : Academic Press, 2001Descripción: xxvi, 383 páginas : gráficas ; 24x16 cm.Idioma: InglésISBN: 0122796713.Materia(s): Finanzas -- Modelos econométricos | Economía -- Modelos econométricosClasificación CDD: 332
Contenidos parciales:
I. Introduction
2. Markets and data
3. Time serie of interest
4. Adaptative data cleaning
5. Basic stylized facts
6. Modeling seasonal volatility
7. Realized volatility dynamics
8. Volatility processes
9. Forecasting risk and return
10. Correlation and multivariate risk
11. Tradinf models
12. Towar a theory of heterogeneous markets
11. Trading models
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Item type Current location Collection Call number Status Date due Barcode
Libro - Material General Libro - Material General Biblioteca Campus Palmas
General 332.4 A531 (Browse shelf) Available 0011042

I. Introduction

2. Markets and data

3. Time serie of interest

4. Adaptative data cleaning

5. Basic stylized facts

6. Modeling seasonal volatility

7. Realized volatility dynamics

8. Volatility processes

9. Forecasting risk and return

10. Correlation and multivariate risk

11. Tradinf models

12. Towar a theory of heterogeneous markets

11. Trading models

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