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Author:   Julien Chevallier (University Paris 8, France) ,  Stéphane Goutte (University Paris 8, France) ,  David Guerreiro (University Paris 8, France) ,  Sophie Saglio (University Paris 8, France)
Publisher:   Taylor & Francis Ltd
Imprint:   Routledge
Weight:   0.453kg
ISBN:  

9781138060944

ISBN 10:   1138060941
Pages:   380
Publication Date:   17 July 2019
Audience:   College/higher education ,  Tertiary & Higher Education ,  Undergraduate
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

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 Modelling. 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

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Author Information

Julien Chevallier is Full Professor of Economics at the University Paris 8 (LED), France. He undertakes research and lectures on empirical finance, applied time-series econometrics, and commodity markets. He has published articles in leading refereed journals. Stephane Goutte is a Maître de Conférences-HDR of Financial Mathematics at University Paris 8, France and Senior Lecturer in Mathematics at University of Luxembourg. He is also a researcher at the Chair European Electricity Markets of Paris Dauphine PSL University. David Guerreiro is an Assistant Professor of Economics at the University Paris 8 (LED), France. His fields of research are International Macroeconomics, Monetary Economics and Meta-Analysis and he has published in numerous peer-reviewed journals. Sophie Saglio is an Assistant Professor of Economics at the University Paris 8 (LED), France. Her research focuses on international economics and finance and she has published in various peer-reviewed journals. Bilel Sanhaji is an Assistant Professor of Economics at the University Paris 8 (LED), France. His main research focuses on nonlinear time series econometrics and modelling volatility. He has published theoretical and applied research papers in various peer-reviewed journals.

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