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Author : Qing Xu
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.:/5 (156 download)
Download or read book Assessing Tail-related Risk for Heteroscedastic Return Series of Asian Emerging Equity Markets written by Qing Xu and published by . This book was released on 2003 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiaoming Li
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
Download or read book Assessing Tail-Related Risks in Asian Equity Markets written by Xiaoming Li and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In assessing tail-related risks in Asian equity markets, we blend the GPD model with the GARCH one. This approach enables us to reveal that innovations after volatility filtering may still remain heavy-tailed or involve tail-related risk that cannot be captured by the GARCH-type model alone. Our results indicate that, at high quantiles, VaRs based on the GPD approach are greater than those based on the normal distribution. We also report the GPD-based unconditional and conditional expected shortfalls that may contain rich information about the potential losses (gains) beyond VaR for the markets under investigation.
Author : Nicholas Tsounis
Publisher : Springer Nature
ISBN 13 : 3030382532
Total Pages : 720 pages
Book Rating : 4.0/5 (33 download)
Download or read book Advances in Cross-Section Data Methods in Applied Economic Research written by Nicholas Tsounis and published by Springer Nature. This book was released on 2020-02-24 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume presents new methods and applications in applied economics with special interest in advanced cross-section data estimation methodology. Featuring select contributions from the 2019 International Conference on Applied Economics (ICOAE 2019) held in Milan, Italy, this book explores areas such as applied macroeconomics, applied microeconomics, applied financial economics, applied international economics, applied agricultural economics, applied marketing and applied managerial economics. International Conference on Applied Economics (ICOAE) is an annual conference that started in 2008, designed to bring together economists from different fields of applied economic research, in order to share methods and ideas. Applied economics is a rapidly growing field of economics that combines economic theory with econometrics, to analyze economic problems of the real world, usually with economic policy interest. In addition, there is growing interest in the field of applied economics for cross-section data estimation methods, tests and techniques. This volume makes a contribution in the field of applied economic research by presenting the most current research. Featuring country specific studies, this book is of interest to academics, students, researchers, practitioners, and policy makers in applied economics, econometrics and economic policy.
Author : Xiao-Ming Li
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (156 download)
Download or read book Assessing Tail-related Risks in Asian Equity Markets written by Xiao-Ming Li and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wai Cheong Shum
Publisher :
ISBN 13 :
Total Pages : 522 pages
Book Rating : 4.:/5 (565 download)
Download or read book An Assessment of the Conditional Risk-return Relations written by Wai Cheong Shum and published by . This book was released on 2004 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andre Carvalhal
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
Download or read book Value-at-Risk and Extreme Returns in Asian Stock Markets written by Andre Carvalhal and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to use the extreme value theory to analyze ten Asian stock markets, identifying which type of extreme value asymptotic distribution better fits historical extreme market events. Understanding the influence of extreme market events is of great importance for risk managers. Our empirical tests indicate that the return distributions are not characterized by normality and that the minima and the maxima of the return series may be satisfactorily modeled within an extreme value framework. The average waiting time for an index to present a daily return below/above a specific threshold is generally larger for Asian major markets than for Asian emerging markets. We also compute VaR estimates using extreme value theory and compare the results with the empirical and normal VaR estimates. The results suggest that the extreme value method of estimating VaR is a more conservative approach to determining capital requirements than traditional methods.
Author : Van-Nam Huynh
Publisher : Springer Science & Business Media
ISBN 13 : 3319033956
Total Pages : 570 pages
Book Rating : 4.3/5 (19 download)
Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.
Author :
Publisher :
ISBN 13 :
Total Pages : 1098 pages
Book Rating : 4.:/5 (334 download)
Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2010 with total page 1098 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nekrasova, Inna
Publisher : IGI Global
ISBN 13 : 1522537686
Total Pages : 324 pages
Book Rating : 4.5/5 (225 download)
Download or read book Fractal Approaches for Modeling Financial Assets and Predicting Crises written by Nekrasova, Inna and published by IGI Global. This book was released on 2018-02-09 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an ever-changing economy, market specialists strive to find new ways to evaluate the risks and potential reward of economic ventures. They start by assessing the importance of human reaction during the economic planning process and put together systems to measure financial markets and their longevity. Fractal Approaches for Modeling Financial Assets and Predicting Crises is a critical scholarly resource that examines the fractal structure and long-term memory of the financial markets in order to predict prices of financial assets and financial crises. Featuring coverage on a broad range of topics, such as computational process models, chaos theory, and game theory, this book is geared towards academicians, researchers, and students seeking current research on pricing and predicting financial crises.
Author : John Cotter
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Extreme Risk in Asian Equity Markets written by John Cotter and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial booms and crises this paper investigates the tail behaviour of Asian equity market returns and quantifies two risk measures, quantiles and average losses, along with their associated average waiting periods. Extreme value theory using the Peaks over Threshold method generates the risk measures where tail returns are modelled with a fat-tailed Generalised Pareto Distribution. We find that lower tail risk measures are more severe than upper tail realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite exhibits the largest risk measures.
Author : Van-Nam Huynh
Publisher : Springer
ISBN 13 : 3319272845
Total Pages : 626 pages
Book Rating : 4.3/5 (192 download)
Download or read book Causal Inference in Econometrics written by Van-Nam Huynh and published by Springer. This book was released on 2015-12-28 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.
Author : Michael P. Clements
Publisher : John Wiley & Sons
ISBN 13 : 140517191X
Total Pages : 616 pages
Book Rating : 4.4/5 (51 download)
Download or read book A Companion to Economic Forecasting written by Michael P. Clements and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together in a single volume a range of contrasting approaches and views. Uniquely surveying forecasting in a single volume, the Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed.
Author : Xiangli Liu
Publisher : Routledge
ISBN 13 : 1317667654
Total Pages : 216 pages
Book Rating : 4.3/5 (176 download)
Download or read book Information Spillover Effect and Autoregressive Conditional Duration Models written by Xiangli Liu and published by Routledge. This book was released on 2014-07-11 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
Author :
Publisher :
ISBN 13 :
Total Pages : 332 pages
Book Rating : 4.:/5 (318 download)
Download or read book Multinational Finance Journal written by and published by . This book was released on 2008 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan Batten
Publisher : Emerald Group Publishing
ISBN 13 : 0857247530
Total Pages : 745 pages
Book Rating : 4.8/5 (572 download)
Download or read book The Impact of the Global Financial Crisis on Emerging Financial Markets written by Jonathan Batten and published by Emerald Group Publishing. This book was released on 2011-03-02 with total page 745 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.
Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
ISBN 13 : 3030541088
Total Pages : 465 pages
Book Rating : 4.0/5 (35 download)
Download or read book Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics written by Burcu Adıgüzel Mercangöz and published by Springer Nature. This book was released on 2021-02-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.
Author : João Lita da Silva
Publisher : Springer Science & Business Media
ISBN 13 : 3642349048
Total Pages : 465 pages
Book Rating : 4.6/5 (423 download)
Download or read book Advances in Regression, Survival Analysis, Extreme Values, Markov Processes and Other Statistical Applications written by João Lita da Silva and published by Springer Science & Business Media. This book was released on 2013-06-14 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of the Selected Papers from Portugal is a product of the Seventeenth Congress of the Portuguese Statistical Society, held at the beautiful resort seaside city of Sesimbra, Portugal, from September 30 to October 3, 2009. It covers a broad scope of theoretical, methodological as well as application-oriented articles in domains such as: Linear Models and Regression, Survival Analysis, Extreme Value Theory, Statistics of Diffusions, Markov Processes and other Statistical Applications.
