Asymmetric Stochastic Conditional Duration Model A Mixture Of Normal Approach

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Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach

Author : Dinghai Xu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach by : Dinghai Xu

Download or read book Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach written by Dinghai Xu and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture various density shapes of the durations but also to easily accommodate a richer dependence structure between the two innovations. In addition, it applies an estimation methodology based on the empirical characteristic function. Empirical applications based on the IBM and Boeing transaction data are provided to assess and illustrate the performance of the proposed model and the estimation method. One interesting empirical finding in this paper is that there is a significantly positive correlation under both the contemporaneous and lagged intertemporal dependence structures for the IBM and Boeing duration data.

Asymmetric Stochastic Conditional Duration Model :a Mixture of Normals Approach

Author : Dinghai Xu
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (837 download)

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Book Synopsis Asymmetric Stochastic Conditional Duration Model :a Mixture of Normals Approach by : Dinghai Xu

Download or read book Asymmetric Stochastic Conditional Duration Model :a Mixture of Normals Approach written by Dinghai Xu and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution

Author : Dinghai Xu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution by : Dinghai Xu

Download or read book Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution written by Dinghai Xu and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides theoretical properties and Monte-Carlo studies of a stochastic conditional duration model with mixture-of-normal error distributions an effcient estimation approach via a continuous empirical characteristic function. The empirical version of this paper is studied in Xu, Knight, and Wirjanto (2011). The proposed model is shown to be capable of capturing various density shapes of the expected duration of financial trades as well as accommodating various types of dependence structure between the error processes. Detailed Monte-Carlo results are provided to assess the performance of the proposed model and estimation approach.

Financial Econometrics

Author : Yiu-Kuen Tse
Publisher : MDPI
ISBN 13 : 3039216260
Total Pages : 136 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Financial Econometrics by : Yiu-Kuen Tse

Download or read book Financial Econometrics written by Yiu-Kuen Tse and published by MDPI. This book was released on 2019-10-14 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for researchers that are different from classical macro-econometric and micro-econometric problems. This Special Issue is dedicated to research topics that are relevant for analyzing financial data. We have gathered six articles under this theme.

Stochastic Conditional Duration Models with Mixture Processes

Author : Tony S. Wirjanto
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Stochastic Conditional Duration Models with Mixture Processes by : Tony S. Wirjanto

Download or read book Stochastic Conditional Duration Models with Mixture Processes written by Tony S. Wirjanto and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies stochastic conditional duration models with a mixture of distribution processes for financial asset's transaction data. The mixture component distributions include exponential, gamma and Weibull. The models allow for a correlation between the observed durations and the logarithm of the conditional expected durations. Suitable MCMC algorithms are developed for Bayesian inference of parameters and duration forecasting of the models. Unlike much of the existing studies in this literature, simulation studies and empirical applications suggest that the proposed models and method are able to t the left tail of the marginal distribution of duration time series relatively well.

Handbook of Volatility Models and Their Applications

Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)

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Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens

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.

Handbook of Mixture Analysis

Author : Sylvia Fruhwirth-Schnatter
Publisher : CRC Press
ISBN 13 : 0429508867
Total Pages : 388 pages
Book Rating : 4.4/5 (295 download)

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Book Synopsis Handbook of Mixture Analysis by : Sylvia Fruhwirth-Schnatter

Download or read book Handbook of Mixture Analysis written by Sylvia Fruhwirth-Schnatter and published by CRC Press. This book was released on 2019-01-04 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mixture models have been around for over 150 years, and they are found in many branches of statistical modelling, as a versatile and multifaceted tool. They can be applied to a wide range of data: univariate or multivariate, continuous or categorical, cross-sectional, time series, networks, and much more. Mixture analysis is a very active research topic in statistics and machine learning, with new developments in methodology and applications taking place all the time. The Handbook of Mixture Analysis is a very timely publication, presenting a broad overview of the methods and applications of this important field of research. It covers a wide array of topics, including the EM algorithm, Bayesian mixture models, model-based clustering, high-dimensional data, hidden Markov models, and applications in finance, genomics, and astronomy. Features: Provides a comprehensive overview of the methods and applications of mixture modelling and analysis Divided into three parts: Foundations and Methods; Mixture Modelling and Extensions; and Selected Applications Contains many worked examples using real data, together with computational implementation, to illustrate the methods described Includes contributions from the leading researchers in the field The Handbook of Mixture Analysis is targeted at graduate students and young researchers new to the field. It will also be an important reference for anyone working in this field, whether they are developing new methodology, or applying the models to real scientific problems.

Stochastic Volatility and Realized Stochastic Volatility Models

Author : Makoto Takahashi
Publisher : Springer Nature
ISBN 13 : 981990935X
Total Pages : 120 pages
Book Rating : 4.8/5 (199 download)

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Book Synopsis Stochastic Volatility and Realized Stochastic Volatility Models by : Makoto Takahashi

Download or read book Stochastic Volatility and Realized Stochastic Volatility Models written by Makoto Takahashi and published by Springer Nature. This book was released on 2023-04-18 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volatility constitutes a crucial aspect of finance, as it plays a vital role in predicting return distributions and managing risks. Among the various econometric models available, the stochastic volatility model has been a popular choice, particularly in comparison to other models, such as GARCH models, as it has demonstrated superior performance in previous empirical studies in terms of fit, forecasting volatility, and evaluating tail risk measures such as Value-at-Risk and Expected Shortfall. The book also explores an extension of the basic stochastic volatility model, incorporating a skewed return error distribution and a realized volatility measurement equation. The concept of realized volatility, a newly established estimator of volatility using intraday returns data, is introduced, and a comprehensive description of the resulting realized stochastic volatility model is provided. The text contains a thorough explanation of several efficient sampling algorithms for latent log volatilities, as well as an illustration of parameter estimation and volatility prediction through empirical studies utilizing various asset return data, including the yen/US dollar exchange rate, the Dow Jones Industrial Average, and the Nikkei 225 stock index. This publication is highly recommended for readers with an interest in the latest developments in stochastic volatility models and realized stochastic volatility models, particularly in regards to financial risk management.

Applied Bayesian Hierarchical Methods

Author : Peter D. Congdon
Publisher : CRC Press
ISBN 13 : 1584887214
Total Pages : 606 pages
Book Rating : 4.5/5 (848 download)

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Book Synopsis Applied Bayesian Hierarchical Methods by : Peter D. Congdon

Download or read book Applied Bayesian Hierarchical Methods written by Peter D. Congdon and published by CRC Press. This book was released on 2010-05-19 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of Markov chain Monte Carlo (MCMC) methods for estimating hierarchical models involves complex data structures and is often described as a revolutionary development. An intermediate-level treatment of Bayesian hierarchical models and their applications, Applied Bayesian Hierarchical Methods demonstrates the advantages of a Bayesian approach

The Stochastic Conditional Duration Model

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

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Book Synopsis The Stochastic Conditional Duration Model by : Luc Bauwens

Download or read book The Stochastic Conditional Duration Model written by Luc Bauwens and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD) models. These models are based on the assumption that the durations are generated by a dynamic stochastic latent variable. The model yields a wide range of shapes of hazard functions. The estimation of the parameters is performed by quasi-maximum likelihood and using the Kalman filter. The model is applied to trade, price and volume durations of stocks traded at NYSE. We also investigate the relation between price durations, spread, trade intensity and volume.

A Time Series Approach to Option Pricing

Author : Christophe Chorro
Publisher : Springer
ISBN 13 : 3662450372
Total Pages : 202 pages
Book Rating : 4.6/5 (624 download)

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Book Synopsis A Time Series Approach to Option Pricing by : Christophe Chorro

Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2014-12-04 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

Author : Ms.Jenny N. Lye
Publisher : International Monetary Fund
ISBN 13 : 1451844778
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates by : Ms.Jenny N. Lye

Download or read book Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates written by Ms.Jenny N. Lye and published by International Monetary Fund. This book was released on 1998-03-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications.

Essentials of Time Series for Financial Applications

Author : Massimo Guidolin
Publisher : Academic Press
ISBN 13 : 0128134100
Total Pages : 435 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Essentials of Time Series for Financial Applications by : Massimo Guidolin

Download or read book Essentials of Time Series for Financial Applications written by Massimo Guidolin and published by Academic Press. This book was released on 2018-05-29 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)

Applied Statistics in Social Sciences

Author : Emilio Gómez-Déniz
Publisher : CRC Press
ISBN 13 : 1000790312
Total Pages : 183 pages
Book Rating : 4.0/5 (7 download)

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Book Synopsis Applied Statistics in Social Sciences by : Emilio Gómez-Déniz

Download or read book Applied Statistics in Social Sciences written by Emilio Gómez-Déniz and published by CRC Press. This book was released on 2022-11-17 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is a detailed description of different discrete and continuous univariate and multivariate distributions with applications in economics, different financial problems, and other scenarios in which these recently developed statistical models have been applied in recent years. They include actuarial statistics, stochastic frontier analysis, duration models, population geography, income and wealth distribution, physical economics and tourism, among others. Each distribution is dealt with in a separate chapter, along with descriptions of all possible applications. The authors also provide a detailed analysis of the proposed probabilistic families, discussing their relationship with existing models, statistical properties, analyzing their strengths and weaknesses, similarities and differences, different estimation methods, along with comments on possible applications and extensions. Simulation methods are given for most of the models presented. Many of the probabilistic models shown, together with their applications in the fields mentioned above, are a result of numerous research articles published by the authors and other researchers, mainly based on classical formulations, which have been the foundations of more general models. This volume contains an extensive updated bibliography from journals and books on statistics, mathematics, economics, actuarial sciences and computer science. This book is an essential manual for researchers, professionals and, in general, for graduate students in computer science, engineering, bioinformatics, statistics and mathematics since the concise writing style makes the book accessible to a broad audience.

Handbook of Volatility Models and Their Applications

Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 0470872519
Total Pages : 566 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens

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 2012-04-17 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.

Linear Models and Time-Series Analysis

Author : Marc S. Paolella
Publisher : John Wiley & Sons
ISBN 13 : 1119431859
Total Pages : 900 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Linear Models and Time-Series Analysis by : Marc S. Paolella

Download or read book Linear Models and Time-Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 900 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Handbook of Recent Advances in Commodity and Financial Modeling

Author : Giorgio Consigli
Publisher : Springer
ISBN 13 : 3319613200
Total Pages : 323 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Handbook of Recent Advances in Commodity and Financial Modeling by : Giorgio Consigli

Download or read book Handbook of Recent Advances in Commodity and Financial Modeling written by Giorgio Consigli and published by Springer. This book was released on 2017-09-30 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.