A Structural Garch Model

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GARCH Models

Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119957397
Total Pages : 469 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis GARCH Models by : Christian Francq

Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

A Structural GARCH Model: an Application to Portfolio Risk Management

Author : Walter Albert De Wet
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (956 download)

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Book Synopsis A Structural GARCH Model: an Application to Portfolio Risk Management by : Walter Albert De Wet

Download or read book A Structural GARCH Model: an Application to Portfolio Risk Management written by Walter Albert De Wet and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of this study is to decompose the conditional covariance matrix of a system of variables. A structural GARCH model is proposed which makes use of existing multivariate GARCH (MGARCH) models to decompose the covariance matrix. The variables analysed in the study are the All Share index (ALSI) on the Johannesburg stock exchange, the South African Rand/US Dollar exchange rate (R/

Data Analysis and Applications 1

Author : Christos H. Skiadas
Publisher : John Wiley & Sons
ISBN 13 : 1786303825
Total Pages : 286 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Data Analysis and Applications 1 by : Christos H. Skiadas

Download or read book Data Analysis and Applications 1 written by Christos H. Skiadas and published by John Wiley & Sons. This book was released on 2019-05-21 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This series of books collects a diverse array of work that provides the reader with theoretical and applied information on data analysis methods, models, and techniques, along with appropriate applications. Volume 1 begins with an introductory chapter by Gilbert Saporta, a leading expert in the field, who summarizes the developments in data analysis over the last 50 years. The book is then divided into three parts: Part 1 presents clustering and regression cases; Part 2 examines grouping and decomposition, GARCH and threshold models, structural equations, and SME modeling; and Part 3 presents symbolic data analysis, time series and multiple choice models, modeling in demography, and data mining.

GARCH Models

Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119313481
Total Pages : 714 pages
Book Rating : 4.1/5 (193 download)

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Book Synopsis GARCH Models by : Christian Francq

Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-03-21 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Identification of Structural Multivariate GARCH Models

Author : Christian M. Hafner
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)

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Book Synopsis Identification of Structural Multivariate GARCH Models by : Christian M. Hafner

Download or read book Identification of Structural Multivariate GARCH Models written by Christian M. Hafner and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Financial Time Series

Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models

Author : Soosung Hwang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models by : Soosung Hwang

Download or read book The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models written by Soosung Hwang and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of persistence over the sample period.

Structural Vector Autoregressive Analysis

Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)

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Book Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian

Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Dynamic Models for Volatility and Heavy Tails

Author : Andrew C. Harvey
Publisher : Cambridge University Press
ISBN 13 : 1107328780
Total Pages : 281 pages
Book Rating : 4.1/5 (73 download)

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Book Synopsis Dynamic Models for Volatility and Heavy Tails by : Andrew C. Harvey

Download or read book Dynamic Models for Volatility and Heavy Tails written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 2013-04-22 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

Real Time Detection of Structural Breaks in GARCH Models. November 2009

Author : Bank of Canada
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (874 download)

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Book Synopsis Real Time Detection of Structural Breaks in GARCH Models. November 2009 by : Bank of Canada

Download or read book Real Time Detection of Structural Breaks in GARCH Models. November 2009 written by Bank of Canada and published by . This book was released on 2009 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Structural Change and Long Memory in the GARCH (1,1)-model

Author : Walter Krämer
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (255 download)

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Book Synopsis Structural Change and Long Memory in the GARCH (1,1)-model by : Walter Krämer

Download or read book Structural Change and Long Memory in the GARCH (1,1)-model written by Walter Krämer and published by . This book was released on 2006 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Matrices

Author : Helmut L?tkepohl
Publisher :
ISBN 13 :
Total Pages : 328 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Handbook of Matrices by : Helmut L?tkepohl

Download or read book Handbook of Matrices written by Helmut L?tkepohl and published by . This book was released on 1996-11-05 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Matrices are used in many areas including statistics, natural sciences, econometrics, maths & engineering. This book provides a collection of results for easy reference in one source, along with a comprehensive dictionary of matrices & related terms.

Real Time Detection of Structural Breaks in GARCH Models

Author : Zhongfang He
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (496 download)

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Book Synopsis Real Time Detection of Structural Breaks in GARCH Models by : Zhongfang He

Download or read book Real Time Detection of Structural Breaks in GARCH Models written by Zhongfang He and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Testing for Structural Breaks in GARCH Models

Author : Daniel R. Smith
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Testing for Structural Breaks in GARCH Models by : Daniel R. Smith

Download or read book Testing for Structural Breaks in GARCH Models written by Daniel R. Smith and published by . This book was released on 2006 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the ability of traditional diagnostic tests and LM and CUSUM structural break tests to detect a range of different types of breaks in GARCH models. We find that Wooldridge's (1990) robust LM tests for autocorrelation and ARCH have no power to detect structural breaks in GARCH models. However, CUSUM and LM-based structural break tests have excellent size when the data is Gaussian, but the CUSUM tests tend to overreject even in quite large samples when returns have fat tails. However, the LM-based tests have approximately the correct size and exhibit impressive power to detect a range of breaks in the dynamics of conditional volatility. We apply these tests to a range of financial time series using returns starting only in 1990 and find that many GARCH models that pass standard specification tests fail the structural break tests.

Structural GARCH

Author : Robert Engle
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (919 download)

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Book Synopsis Structural GARCH by : Robert Engle

Download or read book Structural GARCH written by Robert Engle and published by . This book was released on 2015 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new model of volatility where financial leverage amplifies equity volatility by what we call the "leverage multiplier." The exact specification is motivated by standard structural models of credit; however, our parameterization departs from the classic Merton (1974) model and can accommodate environments where the firm's asset volatility is stochastic, asset returns can jump, and asset shocks are non-normal. In addition, our specification nests both a standard GARCH and the Merton model, which allows for a statistical test of how leverage interacts with equity volatility. Empirically, the Structural GARCH model outperforms a standard asymmetric GARCH model for approximately 74 percent of the financial firms we analyze. We then apply the Structural GARCH model to two empirical applications: the leverage effect and systemic risk measurement. As a part of our systemic risk analysis, we define a new measure called "precautionary capital" that uses our model to quantify the advantages of regulation aimed at reducing financial firm leverage.

Macroeconometrics

Author : Kevin D. Hoover
Publisher : Springer Science & Business Media
ISBN 13 : 940110669X
Total Pages : 575 pages
Book Rating : 4.4/5 (11 download)

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Book Synopsis Macroeconometrics by : Kevin D. Hoover

Download or read book Macroeconometrics written by Kevin D. Hoover and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.

Advances in Markov-Switching Models

Author : James D. Hamilton
Publisher : Springer Science & Business Media
ISBN 13 : 3642511821
Total Pages : 267 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Advances in Markov-Switching Models by : James D. Hamilton

Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.