Financial Mathematics, Volatility and Covariance Modelling
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9781315162737
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

A nonparametric ACD model

2019 ◽  
pp. 122-144
Author(s):  
Antonio Cosma ◽  
Fausto Galli
Keyword(s):  
Acd Model

Long memory and asymmetry in commodity returns and risk

2019 ◽  
pp. 9-38
Author(s):  
Steven J. Cochran ◽  
Iqbal Mansur ◽  
Babatunde Odusami
Keyword(s):  
Long Memory

scholarly journals Compound Hawkes processes in limit order books

2019 ◽  
pp. 191-214 ◽  
Author(s):  
Anatoliy Swishchuk ◽  
Bruno Remillard ◽  
Robert Elliott ◽  
Jonathan Chavez-Casillas
Keyword(s):  
Limit Order ◽  
Hawkes Processes ◽  
Order Books ◽  
Limit Order Books

The importance of rollover in commodity returns using PARCH models

2019 ◽  
pp. 59-92
Author(s):  
Menelaos Karanasos ◽  
Panagiotis Koutroumpis ◽  
Zannis Margaronis ◽  
Rajat Nath
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