Application of ARMA and GARCH Models to the Daily Gold and Silver Exchange Prices in US Dollar

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Publisher :
ISBN 13 : 9783668201675
Total Pages : 40 pages
Book Rating : 4.2/5 (16 download)

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Book Synopsis Application of ARMA and GARCH Models to the Daily Gold and Silver Exchange Prices in US Dollar by : Van Anh Hoang

Download or read book Application of ARMA and GARCH Models to the Daily Gold and Silver Exchange Prices in US Dollar written by Van Anh Hoang and published by . This book was released on 2016-05-08 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, European University Viadrina Frankfurt (Oder) (Lehrstuhl Statistik), course: WS 2015/2016, language: English, abstract: This paper deals with the development of the gold and silver prices from January 2001 until January 2015 and introduces the ARMA-model from Box & Jenkins for (weakly) stationary stochastic processes and the GARCH-model from Bollerslev to model heteroscedastic time series. The results, which were obtained with the help of the statistics package R, are presented in section 5 and 6 respectively. Besides, a forecast of the prices for both assets is made in section 7, the limitations of the research are presented in section 8 and section 9 concludes with a summary of the findings. It is widely known in the financial world that both equities, silver and gold have a long history of serving as a hedge against inflation, political risk and currency exchange risk, which provide economic and physical safety for the investors during times of political and economic crises as well as equity market crashes. This phenomenon could be observed in the 2008 financial crisis, where other mineral prices fell, but only the gold price increased by 6%. Moreover, researchers also show that gold and dollar seem to be negatively related, as in times, when the dollar was weak the price for gold increases. Hence, gold was found to be uncorrelated with other types of assets, which leads to advantages for an investor in an era of globalization. As gold and silver assets seem to play an important role for investors, it is of great necessity to monitor its prices and the volatility of the time series. The autoregressive moving average models (ARMA) and the generalized autoregressive heteroscedasticity (GARCH) models became popular for academics and practitioners and led to a fundamental change to the approach of examining financial data. The ARMA model

Commodities

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Publisher : CRC Press
ISBN 13 : 1498712339
Total Pages : 725 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi

ARCH Models for Financial Applications

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Publisher : John Wiley & Sons
ISBN 13 : 9780470688021
Total Pages : 558 pages
Book Rating : 4.6/5 (88 download)

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Book Synopsis ARCH Models for Financial Applications by : Evdokia Xekalaki

Download or read book ARCH Models for Financial Applications written by Evdokia Xekalaki and published by John Wiley & Sons. This book was released on 2010-03-18 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.

Exchange Rate Economics

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Publisher : Routledge
ISBN 13 : 1134838220
Total Pages : 334 pages
Book Rating : 4.1/5 (348 download)

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Book Synopsis Exchange Rate Economics by : Ronald MacDonald

Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

A Practical Guide to Forecasting Financial Market Volatility

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Publisher : John Wiley & Sons
ISBN 13 : 0470856157
Total Pages : 236 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis A Practical Guide to Forecasting Financial Market Volatility by : Ser-Huang Poon

Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

GARCH Models

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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.

Bayesian Econometrics

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Publisher : MDPI
ISBN 13 : 3039437852
Total Pages : 146 pages
Book Rating : 4.0/5 (394 download)

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Book Synopsis Bayesian Econometrics by : Mauro Bernardi

Download or read book Bayesian Econometrics written by Mauro Bernardi and published by MDPI. This book was released on 2020-12-28 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data, models, parameters and parameter restriction uncertainties, in a unified and coherent framework. This book contributes to this literature by collecting a set of carefully evaluated contributions that are grouped amongst two topics in financial economics. The first three papers refer to macro-finance issues for real economy, including the elasticity of factor substitution (ES) in the Cobb–Douglas production function, the effects of government public spending components, and quantitative easing, monetary policy and economics. The last three contributions focus on cryptocurrency and stock market predictability. All arguments are central ingredients in the current economic discussion and their importance has only been further emphasized by the COVID-19 crisis.

The Handbook of Commodity Investing

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Publisher : John Wiley & Sons
ISBN 13 : 0470293209
Total Pages : 986 pages
Book Rating : 4.4/5 (72 download)

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Book Synopsis The Handbook of Commodity Investing by : Frank J. Fabozzi

Download or read book The Handbook of Commodity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-06-02 with total page 986 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.

Extreme Values and Financial Risk

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Publisher : MDPI
ISBN 13 : 3038974390
Total Pages : 115 pages
Book Rating : 4.0/5 (389 download)

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Book Synopsis Extreme Values and Financial Risk by : Saralees Nadarajah

Download or read book Extreme Values and Financial Risk written by Saralees Nadarajah and published by MDPI. This book was released on 2019-01-15 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Extreme Values and Financial Risk" that was published in JRFM

Handbook of Exchange Rates

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Publisher : John Wiley & Sons
ISBN 13 : 1118445775
Total Pages : 674 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Handbook of Exchange Rates by : Jessica James

Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.

The Price of Gold and the Exchange Rates

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Publisher :
ISBN 13 : 9780864224316
Total Pages : 24 pages
Book Rating : 4.2/5 (243 download)

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Book Synopsis The Price of Gold and the Exchange Rates by : Larry A. Sjaastad

Download or read book The Price of Gold and the Exchange Rates written by Larry A. Sjaastad and published by . This book was released on 1995 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Recent Econometric Techniques for Macroeconomic and Financial Data

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Publisher : Springer Nature
ISBN 13 : 3030542521
Total Pages : 387 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Recent Econometric Techniques for Macroeconomic and Financial Data by : Gilles Dufrénot

Download or read book Recent Econometric Techniques for Macroeconomic and Financial Data written by Gilles Dufrénot and published by Springer Nature. This book was released on 2020-11-21 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.

Safeguarding Food Security in Volatile Global Markets

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Publisher : Bright Sparks
ISBN 13 :
Total Pages : 620 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Safeguarding Food Security in Volatile Global Markets by : Adam Prakash

Download or read book Safeguarding Food Security in Volatile Global Markets written by Adam Prakash and published by Bright Sparks. This book was released on 2011 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timely publication as world leaders deliberate the causes of the latest bouts of food price volatility and search for solutions that address the recent velocity of financial, economic, political, demographic, and climatic change. As a collection compiled from a diverse group of economists, analysts, traders, institutions and policy formulators - comprising multiple methodologies and viewpoints - the book exposes the impact of volatility on global food security, with particular focus on the world's most vulnerable.

Financial Signal Processing and Machine Learning

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Publisher : John Wiley & Sons
ISBN 13 : 1118745639
Total Pages : 312 pages
Book Rating : 4.1/5 (187 download)

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Book Synopsis Financial Signal Processing and Machine Learning by : Ali N. Akansu

Download or read book Financial Signal Processing and Machine Learning written by Ali N. Akansu and published by John Wiley & Sons. This book was released on 2016-04-21 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading researchers and practitioners in both the signal and information processing communities, and the quantitative finance community.

Digital Gold

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Publisher : HarperCollins
ISBN 13 : 0062572067
Total Pages : 299 pages
Book Rating : 4.0/5 (625 download)

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Book Synopsis Digital Gold by : Nathaniel Popper

Download or read book Digital Gold written by Nathaniel Popper and published by HarperCollins. This book was released on 2016-05-17 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: A New York Times reporter’s “vivid” account of the dramatic rise of Bitcoin and how it has led to untold riches for some—and prison terms for others (Financial Times). Shortlisted for the Financial Times and McKinsey Business Book of the Year A New York Times Book Review Editor’s Choice The notion of a new currency, maintained by the computers of users around the world, has been the butt of many jokes, but that has not stopped it from growing into a technology worth billions of dollars, supported by the hordes of followers who have come to view it as the most important new idea since the creation of the Internet. Believers from Beijing to Buenos Aires see the potential for a financial system free from banks and governments. More than just a tech industry fad, Bitcoin has threatened to decentralize some of society’s most basic institutions. An unusual tale of group invention, Digital Gold charts the rise of the Bitcoin technology through the eyes of the movement’s colorful central characters, including an Argentinian millionaire, a Chinese entrepreneur, Tyler and Cameron Winklevoss, and Bitcoin’s elusive creator, Satoshi Nakamoto. “Engrossing.” —Library Journal “An elegant, thrilling tour-de-force. . . .The fast-paced action never stops.” —William D. Cohan, New York Times–bestselling author of Power Failure

Handbook of Financial Risk Management

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Publisher : CRC Press
ISBN 13 : 1351385224
Total Pages : 1430 pages
Book Rating : 4.3/5 (513 download)

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Book Synopsis Handbook of Financial Risk Management by : Thierry Roncalli

Download or read book Handbook of Financial Risk Management written by Thierry Roncalli and published by CRC Press. This book was released on 2020-04-23 with total page 1430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874

Global Agenda in Social Sciences

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Publisher : IJOPEC PUBLICATION
ISBN 13 : 1913809277
Total Pages : 378 pages
Book Rating : 4.9/5 (138 download)

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Book Synopsis Global Agenda in Social Sciences by : İsmail Şiriner

Download or read book Global Agenda in Social Sciences written by İsmail Şiriner and published by IJOPEC PUBLICATION. This book was released on 2021-12-22 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: