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: LibroEditor: 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: 332Item type | Current location | Collection | Call number | Status | Date due | Barcode |
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Libro - Material General | Biblioteca Campus Palmas | General | 332.4 A531 (Browse shelf) | Available | 0011042 |
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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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