Titlebook: Discrete Time Series, Processes, and Applications in Finance; Gilles Zumbach Book 2013 Springer-Verlag Berlin Heidelberg 2013 91B84, 91B70

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978-3-642-43654-3Springer-Verlag Berlin Heidelberg 2013

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Gilles ZumbachThe volume discusses and works on several practical implication and gives a synthesis of the field.Important applications of the discrete ARCH framework are presented.A balanced presentation of both e

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Pessary

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Leverage Effect,o an increased volatility after a downward price move. The effect is studied quantitatively over multiple time scales for empirical data. The flexibility of the ARCH equations allows us to add easily such a dependency, so as to reproduce the empirical findings.

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