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Asymptotic Theory In Financial Time Series Models With Conditional Heteroscedasticity
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Author :Torben Gustav Andersen Publisher :Springer Science & Business Media ISBN 13 :3540712976 Total Pages :1045 pages Book Rating :4.5/5 (47 download)
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.
Book Synopsis Modeling Financial Time Series with S-PLUS by : Eric Zivot
Download or read book Modeling Financial Time Series with S-PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
Book Synopsis Analysis of Financial Time Series by : Ruey S. Tsay
Download or read book Analysis of Financial Time Series written by Ruey S. Tsay and published by Wiley-Interscience. This book was released on 2001-11-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. Timely topics and recent results include: Value at Risk (VaR) High-frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed-form formulas VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process Multivariate volatility models with time-varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.
Book Synopsis Estimation in Conditionally Heteroscedastic Time Series Models by : Daniel Straumann
Download or read book Estimation in Conditionally Heteroscedastic Time Series Models written by Daniel Straumann and published by Springer Science & Business Media. This book was released on 2006-01-27 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.
Book Synopsis Time Series Analysis: Methods and Applications by : Tata Subba Rao
Download or read book Time Series Analysis: Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Book Synopsis Statistical Inference for Financial Engineering by : Masanobu Taniguchi
Download or read book Statistical Inference for Financial Engineering written by Masanobu Taniguchi and published by Springer Science & Business Media. This book was released on 2014-03-26 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.
Book Synopsis Time Series Analysis: Methods and Applications by :
Download or read book Time Series Analysis: Methods and Applications written by and published by Elsevier. This book was released on 2012-05-18 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas
Book Synopsis Essays in Nonlinear Time Series Econometrics by : Niels Haldrup
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
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.
Book Synopsis Analysis of Financial Time Series by : Ruey S. Tsay
Download or read book Analysis of Financial Time Series written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2010-10-26 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.
Download or read book Time Series Models written by D.R. Cox and published by CRC Press. This book was released on 2020-11-26 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
Book Synopsis Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications by : Wing-Keung Wong
Download or read book Sustainability of the Theories Developed by Mathematical Finance and Mathematical Economics with Applications written by Wing-Keung Wong and published by MDPI. This book was released on 2020-12-15 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics.
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)
Book Synopsis Modern Linear and Nonlinear Econometrics by : Joseph Plasmans
Download or read book Modern Linear and Nonlinear Econometrics written by Joseph Plasmans and published by Springer Science & Business Media. This book was released on 2006-08-30 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way. It covers four major parts of modern econometrics: linear and nonlinear estimation and testing, time series analysis, models with categorical and limited dependent variables, and, finally, a thorough analysis of linear and nonlinear panel data modeling. Distinctive features of this handbook are: -A unified approach of both linear and nonlinear econometrics, with an integration of the theory and the practice in modern econometrics. Emphasis on sound theoretical and empirical relevance and intuition. Focus on econometric and statistical methods for the analysis of linear and nonlinear processes in economics and finance, including computational methods and numerical tools. -Completely worked out empirical illustrations are provided throughout, the macroeconomic and microeconomic (household and firm level) data sets of which are available from the internet; these empirical illustrations are taken from finance (e.g. CAPM and derivatives), international economics (e.g. exchange rates), innovation economics (e.g. patenting), business cycle analysis, monetary economics, housing economics, labor and educational economics (e.g. demand for teachers according to gender) and many others. -Exercises are added to the chapters, with a focus on the interpretation of results; several of these exercises involve the use of actual data that are typical for current empirical work and that are made available on the internet. What is also distinguishable in Modern Linear and Nonlinear Econometrics is that every major topic has a number of examples, exercises or case studies. By this `learning by doing' method the intention is to prepare the reader to be able to design, develop and successfully finish his or her own research and/or solve real world problems.
Book Synopsis Applied Time Series Econometrics by : Helmut Lütkepohl
Download or read book Applied Time Series Econometrics written by Helmut Lütkepohl and published by Cambridge University Press. This book was released on 2004-08-02 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time series econometrics is a rapidly evolving field. Particularly, the cointegration revolution has had a substantial impact on applied analysis. Hence, no textbook has managed to cover the full range of methods in current use and explain how to proceed in applied domains. This gap in the literature motivates the present volume. The methods are sketched out, reminding the reader of the ideas underlying them and giving sufficient background for empirical work. The treatment can also be used as a textbook for a course on applied time series econometrics. Topics include: unit root and cointegration analysis, structural vector autoregressions, conditional heteroskedasticity and nonlinear and nonparametric time series models. Crucial to empirical work is the software that is available for analysis. New methodology is typically only gradually incorporated into existing software packages. Therefore a flexible Java interface has been created, allowing readers to replicate the applications and conduct their own analyses.
Book Synopsis Probability, Finance and Insurance by : T. L. Lai
Download or read book Probability, Finance and Insurance written by T. L. Lai and published by World Scientific. This book was released on 2004 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction.This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory ? particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory ? it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy.The proceedings have been selected for coverage in: ? Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)? Index to Social Sciences & Humanities Proceedings? (ISSHP? / ISI Proceedings)? Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)? CC Proceedings ? Engineering & Physical Sciences
Book Synopsis Probability, Finance And Insurance, Proceedings Of A Workshop by : Siu Pang Yung
Download or read book Probability, Finance And Insurance, Proceedings Of A Workshop written by Siu Pang Yung and published by World Scientific. This book was released on 2004-06-28 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: This workshop was the first of its kind in bringing together researchers in probability theory, stochastic processes, insurance and finance from mainland China, Taiwan, Hong Kong, Singapore, Australia and the United States. In particular, as China has joined the WTO, there is a growing demand for expertise in actuarial sciences and quantitative finance. The strong probability research and graduate education programs in many of China's universities can be enriched by their outreach in fields that are of growing importance to the country's expanding economy, and the workshop and its proceedings can be regarded as the first step in this direction.This book presents the most recent developments in probability, finance and actuarial sciences, especially in Chinese probability research. It focuses on the integration of probability theory with applications in finance and insurance. It also brings together academic researchers and those in industry and government. With contributions by leading authorities on probability theory — particularly limit theory and large derivations, valuation of credit derivatives, portfolio selection, dynamic protection and ruin theory — it is an essential source of ideas and information for graduate students and researchers in probability theory, mathematical finance and actuarial sciences, and thus every university should acquire a copy.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
