Chapter: Price and Volatility Using High-Frequency Data

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Home > Discrete Time Series, Processes, and Applications in Finance > Price and Volatility Using High-Frequency Data

Discrete Time Series, Processes, and Applications in Finance |

Gilles Zumbach

Springer Berlin Heidelberg

Discrete Time Series, Processes, and Applications in Finance

Price and Volatility Using High-Frequency Data

Chapter Info

Authors

Gilles Zumbach

ARI Id

1664242047680_893431

Access

Not Available Free

Pages

147-161

DOI

10.1007/978-3-642-31742-2_10

Chapter URL

https://rd.springer.com/chapter/10.1007/978-3-642-31742-2_10

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Chapters/Headings	Author(s)	Pages	Info
Front Matter		I-XXI
Introduction	Gilles Zumbach	1-5
Notation, Naming, and General Definitions	Gilles Zumbach	7-16
Stylized Facts	Gilles Zumbach	17-47
Empirical Mug Shots	Gilles Zumbach	49-55
Process Overview	Gilles Zumbach	57-67
Logarithmic Versus Relative Random Walks	Gilles Zumbach	69-84
ARCH Processes	Gilles Zumbach	85-128
Stochastic Volatility Processes	Gilles Zumbach	129-141
Regime-Switching Process	Gilles Zumbach	143-145
Price and Volatility Using High-Frequency Data	Gilles Zumbach	147-161
Time-Reversal Asymmetry	Gilles Zumbach	163-179
Characterizing Heteroscedasticity	Gilles Zumbach	181-196
The Innovation Distributions	Gilles Zumbach	197-203
Leverage Effect	Gilles Zumbach	205-209
Processes and Market Risk Evaluation	Gilles Zumbach	211-231
Option Pricing	Gilles Zumbach	233-255
The Empirical Properties of Large Covariance Matrices	Gilles Zumbach	257-272
Multivariate ARCH Processes	Gilles Zumbach	273-294
The Processes Compatible with the Stylized Facts	Gilles Zumbach	295-298
Chapters/Headings	Author(s)	Pages	Info

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