Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

The aim of econometrics is to make use of data, statistical inference methods and structural
or descriptive modeling to address practical economic problems. The development of …

Graphs arise naturally in many real-world applications including social networks,
recommender systems, ontologies, biology, and computational finance. Traditionally …

Large volumes of event data are becoming increasingly available in a wide variety of
applications, such as healthcare analytics, smart cities and social network analysis. The …

In this paper we propose an overview of the recent academic literature devoted to the
applications of Hawkes processes in finance. Hawkes processes constitute a particular class …

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being
below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord …

The subject of fractional calculus and its applications (that is, convolution-type pseudo-
differential operators including integrals and derivatives of any arbitrary real or complex …

The book's website (with databases and other support materials) can be accessed here.
Praise for the Second Edition: The second edition introduces an especially broad set of …

Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …