Nonparametric modelling of financial time series:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
1998
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | II, 100 S. graph. Darst. |
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Record in the Search Index
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| adam_text | Contents
Introduction 1
1 Nonparametric Volatility Estimation 4
1.1 Financial Time Series 4
1.2 Daily Returns 7
1.3 Autocorrelation 10
1.4 A Model of Heteroscedasticity 13
1.5 Parametric Heteroscedasticity Models 15
1.5.1 The ARCH model 15
1.5.2 Other ARCH type models 17
1.6 Nonparametric Estimation of Time Series 18
1.6.1 Weak Dependence 19
1.6.2 Consistency and Normality of the Estimator 21
1.6.3 Bandwidth Selection 24
1.7 Estimating the Drift and the Volatility 25
1.8 Analysis of Residuals 35
1.9 Conclusion 35
1.10 Appendix to Chapter 1 39
2 Estimating Functional Components 40
2.1 Volatility Functions of Standardized Returns 40
2.2 Volatility Estimation for Autoregressive Processes 41
2.3 Test on Symmetry 48
2.4 Polynomial Fit of the Volatility Functions 49
2.5 Linear Selfmodelling Regression 53
2.5.1 Selecting Basis Functions 55
2.5.2 Estimation of Basis Function 56
i
2.5.3 Estimation of Dimension 60
2.5.4 Functional Components of Transformed Volatility 65
2.6 Appendix A to Chapter 2 68
2.7 Appendix B to Chapter 2 69
3 Calculating European Options 72
3.1 Financial Models of Continuous Time 74
3.2 Complete Markets and Equivalent Martingale Measures 76
3.3 Option Pricing in the Case of Autoregressive Return Processes . . 80
3.4 Results 82
3.5 Appendix: Stochastic Integration 93
ii
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| indexdate | 2024-07-09T18:22:28Z |
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| spelling | Heid, Frank 1966- Verfasser (DE-588)120476118 aut Nonparametric modelling of financial time series von Frank Heid 1998 II, 100 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bonn, Univ., Diss., 1998 Nichtparametrische Statistik (DE-588)4226777-8 gnd rswk-swf Zeitreihe (DE-588)4127298-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zeitreihe (DE-588)4127298-5 s Nichtparametrische Statistik (DE-588)4226777-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008225728&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Heid, Frank 1966- Nonparametric modelling of financial time series Nichtparametrische Statistik (DE-588)4226777-8 gnd Zeitreihe (DE-588)4127298-5 gnd |
| subject_GND | (DE-588)4226777-8 (DE-588)4127298-5 (DE-588)4113937-9 |
| title | Nonparametric modelling of financial time series |
| title_auth | Nonparametric modelling of financial time series |
| title_exact_search | Nonparametric modelling of financial time series |
| title_full | Nonparametric modelling of financial time series von Frank Heid |
| title_fullStr | Nonparametric modelling of financial time series von Frank Heid |
| title_full_unstemmed | Nonparametric modelling of financial time series von Frank Heid |
| title_short | Nonparametric modelling of financial time series |
| title_sort | nonparametric modelling of financial time series |
| topic | Nichtparametrische Statistik (DE-588)4226777-8 gnd Zeitreihe (DE-588)4127298-5 gnd |
| topic_facet | Nichtparametrische Statistik Zeitreihe Hochschulschrift |
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