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Author : Ole E. Barndorff-Nielsen
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (431 download)
Download or read book Aggregation and Model Construction for Volatility Models written by Ole E. Barndorff-Nielsen and published by . This book was released on 1998 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Neil Shephard
Publisher : Oxford University Press, USA
ISBN 13 : 0199257205
Total Pages : 534 pages
Book Rating : 4.1/5 (992 download)
Download or read book Stochastic Volatility written by Neil Shephard and published by Oxford University Press, USA. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
Author : Renault, Éric
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (466 download)
Download or read book Temporal Aggregation of Volatility Models written by Renault, Éric and published by Montréal : CIRANO. This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dr. Bashir Eissa Mohammad Abedrahaman
Publisher : IPR Journals and Book Publishers
ISBN 13 : 9914728413
Total Pages : 175 pages
Book Rating : 4.9/5 (147 download)
Download or read book Aggregation and Simulation Techniques written by Dr. Bashir Eissa Mohammad Abedrahaman and published by IPR Journals and Book Publishers. This book was released on 2023-06-10 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt: TOPICS IN THE BOOK Inverse Spectral Properties for Symmetric Operators with Weyl Functions Homogeneous Operators and Weighted Shift with Multipliers Modeling of Natural Turbulent Convection in an Enclosure with Localized Heating Modelling Energy Market Volatility Using Garch Models and Estimating Value-at-Risk Risk Factors Associated with Stunting and Wasting Levels among Under Five Children in Ethiopia Mathematical Application of Revised Simplex Modelling in Optimal Loan Portfolio
Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author : W. J. Fitzgerald
Publisher : Cambridge University Press
ISBN 13 : 9780521800440
Total Pages : 510 pages
Book Rating : 4.8/5 (4 download)
Download or read book Nonlinear and Nonstationary Signal Processing written by W. J. Fitzgerald and published by Cambridge University Press. This book was released on 2000 with total page 510 pages. Available in PDF, EPUB and Kindle. Book excerpt: Signal processing, nonlinear data analysis, nonlinear time series, nonstationary processes.
Author : William A. Barnett
Publisher : World Scientific
ISBN 13 : 9814293091
Total Pages : 278 pages
Book Rating : 4.8/5 (142 download)
Download or read book Financial Aggregation and Index Number Theory written by William A. Barnett and published by World Scientific. This book was released on 2011 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book surveys modern literature on financial aggregation and index number theory, with special emphasis on the contributions of the book's two coauthors. In addition to an introduction and a systematic survey chapter unifying the rest of the book, this publication contains reprints of six published articles central to the survey chapter. Financial Aggregation and Index Number Theory provides a reference work for financial data researchers and users of central bank data, placing emphasis on possible improvements in such data from use of the microeconomic index number and aggregation theory.
Author :
Publisher :
ISBN 13 :
Total Pages : 808 pages
Book Rating : 4.3/5 (91 download)
Download or read book Journal of the American Statistical Association written by and published by . This book was released on 2001 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 144 pages
Book Rating : 4.F/5 ( download)
Download or read book Working Paper Series written by and published by . This book was released on 2000 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David X. Chan
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)
Download or read book Multivariate Stochastic Volatility Models with Correlated Errors written by David X. Chan and published by . This book was released on 2008 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a Bayesian approach for parsimoniously estimating the correlation structure of the errors in a multivariate stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors is potentially very large, we impose a prior that allows the off-diagonal elements of the inverse of the correlation matrix to be identically zero. The model is estimated using a Markov chain simulation method that samples from the posterior distribution of the volatilities and parameters. We illustrate the approach using both simulated and real examples. In the real examples, the method is applied to equities at three levels of aggregation: returns for firms within the same industry, returns for different industries and returns aggregated at the index level. We find pronounced correlation effects only at the highest level of aggregation.
Author : Masanao Aoki
Publisher : Cambridge University Press
ISBN 13 : 1139431870
Total Pages : 283 pages
Book Rating : 4.1/5 (394 download)
Download or read book Modeling Aggregate Behavior and Fluctuations in Economics written by Masanao Aoki and published by Cambridge University Press. This book was released on 2001-12-20 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has two components: stochastic dynamics and stochastic random combinatorial analysis. The first discusses evolving patterns of interactions of a large but finite number of agents of several types. Changes of agent types or their choices or decisions over time are formulated as jump Markov processes with suitably specified transition rates: optimisations by agents make these rates generally endogenous. Probabilistic equilibrium selection rules are also discussed, together with the distributions of relative sizes of the bases of attraction. As the number of agents approaches infinity, we recover deterministic macroeconomic relations of more conventional economic models. The second component analyses how agents form clusters of various sizes. This has applications for discussing sizes or shares of markets by various agents which involve some combinatorial analysis patterned after the population genetics literature. These are shown to be relevant to distributions of returns to assets, volatility of returns, and power laws.
Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 0470091401
Total Pages : 864 pages
Book Rating : 4.4/5 (7 download)
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author : Lorenzo Bergomi
Publisher : CRC Press
ISBN 13 : 1482244071
Total Pages : 520 pages
Book Rating : 4.4/5 (822 download)
Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Author : Torben G. Anderson
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Distribution of Exchange Rate Volatility written by Torben G. Anderson and published by . This book was released on 1999 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In addition to being model-free, our estimates are also approximately free of measurement error under general conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and highly.
Author : Anthony Owusu-Ansah
Publisher : Routledge
ISBN 13 : 1351591002
Total Pages : 210 pages
Book Rating : 4.3/5 (515 download)
Download or read book Construction and Application of Property Price Indices written by Anthony Owusu-Ansah and published by Routledge. This book was released on 2018-07-11 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: The importance of house prices to households, real estate developers, banks and policy-makers cannot be overemphasised. House price changes affect consumer spending and business investment patterns, which in turn affect the wider macro economy and the entire business cycle. Measuring and understanding house prices is therefore essential to a functioning economy, but researchers continue to disagree on the best methodological approach for constructing real estate indices. This book argues the need for more accurate house price indices, outlines the various methods used to construct indices and discusses the existing house price indices around the globe. It shows how the raw data of property transactions can be prepared for the purpose of constructing indices, discusses various applications of property price indices and empirically demonstrates how the index numbers can be used to model the supply of new houses and to estimate the price elasticity of supply. Essential reading for economists, real estate professionals and researchers, and policy-makers.
Author : Mr.Constant Lonkeng Ngouana
Publisher : International Monetary Fund
ISBN 13 : 1475575696
Total Pages : 29 pages
Book Rating : 4.4/5 (755 download)
Download or read book Structural Transformation and the Volatility of Aggregate Output in OECD Countries written by Mr.Constant Lonkeng Ngouana and published by International Monetary Fund. This book was released on 2013-02-15 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds a negative relationship between the employment share of the service sector and the volatility of aggregate output in the OECD—after controlling for the level of financial development. This result reflects volatility differentials across sectors: labor productivity is more volatile in agriculture and manufacturing than in services. Aggregate output would therefore become less volatile as labor moves away from agriculture and manufacturing and toward the service sector. I examine the quantitative role of these labor shifts—termed structural transformation—on the volatility of aggregate output in OECD countries. I first calibrate to the U.S. economy an indivisible labor model in which the reallocation of labor across sectors emerges endogenously from sectoral labor productivity growth differentials. The setup is then used to generate the time path of labor shares in agriculture, manufacturing and services in individual countries. Finally, I perform a set of counterfactual analyzes in which the reallocation of labor across sectors is constrained endogenously. I find that the secular shift of labor towards the service sector was volatility-reducing in OECD countries during 1970–2006.
