Forecasting of Volatilities and Covolatilities the Financial Assets

Name: Forecasting of Volatilities and Covolatilities the Financial Assets
SKU: e404eef467e3e5f30fc38cdc1e47a803
Price: 35.9 EUR
Availability: InStock

1/1

Prijzen vanaf

35,90

Uitgelicht

	35,90	Naar shop
VERGELIJK ALLE AANBIEDERS (1)

Beschrijving

Bol Influence of huge sets of information on financial markets has become almost instantaneous. Every new peace of information influences prices of assets and correlations among them. Many risk measures including value-at-risk or hedge ratios are based on variance-covariance forecasts. Moreover, future covariances are key risk measures themselves. Large portfolios of assets demand new methods of forecasting correlations that take into account constantly arriving high-frequency (HF) information. Recent developments in risk forecasting of both individual volatilities and large covariance matrices are the focus of this work. Theoretical part overviews latest modelling approaches to volatility forecasting, whereas in the empirical part selected volatility models are implemented and compared.

Lees meer

Vergelijk aanbieders (1)

Sorteren op:

€ 35,90 Gratis verzending

Beschrijving (1)

Influence of huge sets of information on financial markets has become almost instantaneous. Every new peace of information influences prices of assets and correlations among them. Many risk measures including value-at-risk or hedge ratios are based on variance-covariance forecasts. Moreover, future covariances are key risk measures themselves. Large portfolios of assets demand new methods of forecasting correlations that take into account constantly arriving high-frequency (HF) information. Recent developments in risk forecasting of both individual volatilities and large covariance matrices are the focus of this work. Theoretical part overviews latest modelling approaches to volatility forecasting, whereas in the empirical part selected volatility models are implemented and compared.

Lees meer