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Modelling and Forecasting High Frequency Financial Data

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Modelling and Forecasting High Frequency Financial Data/ by Stavros Degiannakis, Christos Floros.
作者:	Degiannakis, Stavros.
其他作者:	Floros, Christos.
面頁冊數:	XXII, 278 p.online resource. :
Contained By:	Springer Nature eBook
標題:	Investment banking. -
電子資源:	https://doi.org/10.1057/9781137396495
ISBN:	9781137396495

Modelling and Forecasting High Frequency Financial Data
Degiannakis, Stavros.

Modelling and Forecasting High Frequency Financial Data[electronic resource] /by Stavros Degiannakis, Christos Floros. - 1st ed. 2015. - XXII, 278 p.online resource.

Chapter 1: Introduction to High Frequency Financial Modelling -- Chapter 2: Intra-day Realized Volatility Measures -- Chapter 3: Methods of Volatility Estimation and Forecasting -- Chapter 4: Multiple Model Comparison and Hypothesis Framework Construction -- Chapter 5: Realized Volatility Forecasting - Applications -- Chapter 6: Recent Methods: A Review -- Chapter 7: Intraday Hedge Ratios & Option Pricing.

The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.

ISBN: 9781137396495

Standard No.: 10.1057/9781137396495doiSubjects--Topical Terms:

596537
Investment banking.

LC Class. No.: HG4501-6051

Dewey Class. No.: 332.6

Modelling and Forecasting High Frequency Financial Data
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