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Author : Robert F. Engle
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (247 download)
Download or read book Dynamic Conditional Correlation written by Robert F. Engle and published by . This book was released on 2000 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert F. Engle
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. written by Robert F. Engle and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop the theoretical and empirical properties of a new class of multivariate GARCH models capable of estimating large time-varying covariance matrices, Dynamic Conditional Correlation Multivariate GARCH. We show that the problem of multivariate conditional variance estimation can be simplified by estimating univariate GARCH models for each asset, and then, using transformed residuals resulting from the first stage, estimating a conditional correlation estimator. The standard errors for the first stage parameters remain consistent, and only the standard errors for the correlation parameters need to be modified. We use the model to estimate the conditional covariance of up to 100 assets using Samp;P 500 Sector Indices and Dow Jones Industrial Average stocks, and conduct specification tests of the estimator using an industry standard benchmark for volatility models. This new estimator demonstrates very strong performance especially considering ease of implementation of the estimator.
Author : Matteo M. Pelagatti
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (129 download)
Download or read book Dynamic Conditional Correlation with Elliptical Distributions written by Matteo M. Pelagatti and published by . This book was released on 2013 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities' returns. In the present paper we show how Engle's two-steps estimate of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to the evaluation of the Value at Risk (VaR) of a portfolio of realistic dimensions. A free software (Ox class) written by the authors to carry out all the required computations is presented as well.
Author : Eryk Lewinson
Publisher : Packt Publishing Ltd
ISBN 13 : 1789617324
Total Pages : 426 pages
Book Rating : 4.7/5 (896 download)
Download or read book Python for Finance Cookbook written by Eryk Lewinson and published by Packt Publishing Ltd. This book was released on 2020-01-31 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: Solve common and not-so-common financial problems using Python libraries such as NumPy, SciPy, and pandas Key FeaturesUse powerful Python libraries such as pandas, NumPy, and SciPy to analyze your financial dataExplore unique recipes for financial data analysis and processing with PythonEstimate popular financial models such as CAPM and GARCH using a problem-solution approachBook Description Python is one of the most popular programming languages used in the financial industry, with a huge set of accompanying libraries. In this book, you'll cover different ways of downloading financial data and preparing it for modeling. You'll calculate popular indicators used in technical analysis, such as Bollinger Bands, MACD, RSI, and backtest automatic trading strategies. Next, you'll cover time series analysis and models, such as exponential smoothing, ARIMA, and GARCH (including multivariate specifications), before exploring the popular CAPM and the Fama-French three-factor model. You'll then discover how to optimize asset allocation and use Monte Carlo simulations for tasks such as calculating the price of American options and estimating the Value at Risk (VaR). In later chapters, you'll work through an entire data science project in the financial domain. You'll also learn how to solve the credit card fraud and default problems using advanced classifiers such as random forest, XGBoost, LightGBM, and stacked models. You'll then be able to tune the hyperparameters of the models and handle class imbalance. Finally, you'll focus on learning how to use deep learning (PyTorch) for approaching financial tasks. By the end of this book, you’ll have learned how to effectively analyze financial data using a recipe-based approach. What you will learnDownload and preprocess financial data from different sourcesBacktest the performance of automatic trading strategies in a real-world settingEstimate financial econometrics models in Python and interpret their resultsUse Monte Carlo simulations for a variety of tasks such as derivatives valuation and risk assessmentImprove the performance of financial models with the latest Python librariesApply machine learning and deep learning techniques to solve different financial problemsUnderstand the different approaches used to model financial time series dataWho this book is for This book is for financial analysts, data analysts, and Python developers who want to learn how to implement a broad range of tasks in the finance domain. Data scientists looking to devise intelligent financial strategies to perform efficient financial analysis will also find this book useful. Working knowledge of the Python programming language is mandatory to grasp the concepts covered in the book effectively.
Author : Robert Engle
Publisher : Princeton University Press
ISBN 13 : 1400830192
Total Pages : 176 pages
Book Rating : 4.4/5 (8 download)
Download or read book Anticipating Correlations written by Robert Engle and published by Princeton University Press. This book was released on 2009-01-19 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.
Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author : Robert F. Engle
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (248 download)
Download or read book Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH written by Robert F. Engle and published by . This book was released on 2001 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop the theoretical and empirical properties of a new class of multi-variate GARCH models capable of estimating large time-varying covariance matrices, Dynamic Conditional Correlation Multivariate GARCH. We show that the problem of multivariate conditional variance estimation can be simplified by estimating univariate GARCH models for each asset, and then, using transformed residuals resulting from the first stage, estimating a conditional correlation estimator. The standard errors for the first stage parameters remain consistent, and only the standard errors for the correlation parameters need be modified. We use the model to estimate the conditional covariance of up to 100 assets using S&P 500 Sector Indices and Dow Jones Industrial Average stocks, and conduct specification tests of the estimator using an industry standard benchmark for volatility models. This new estimator demonstrates very strong performance especially considering ease of implementation of the estimator
Author : Bram van Os
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book Pooling Dynamic Conditional Correlation Models written by Bram van Os and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Dynamic Conditional Correlation (DCC) model by Engle (2002) has become an extremely popular tool for modeling the time-varying dependence of asset returns. However, applications to large cross-sections have been found to be problematic, due to the curse of dimensionality. We propose a novel DCC model with Conditional LInear Pooling (CLIP-DCC) which endogenously determines an optimal degree of commonality in the correlation innovations, allowing a part of the update to be of reduced dimension. In contrast to existing approaches such as the Dynamic EquiCOrrelation (DECO) model, the CLIP-DCC model does not restrict long-run behavior, thereby naturally complementing target correlation matrix shrinkage approaches. Empirical findings suggest substantial benefits for a minimum-variance investor in real-time. Combining the CLIP-DCC model with target shrinkage yields the largest improvements, confirming that they address distinct parts of uncertainty of the conditional correlation matrix.
Author : Hassan Malongo
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (931 download)
Download or read book On the Stationarity of Dynamic Conditional Correlation Models written by Hassan Malongo and published by . This book was released on 2013 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gregorio A. Vargas
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Asymmetric Block Dynamic Conditional Correlation Multivariate Garch Model written by Gregorio A. Vargas and published by . This book was released on 2008 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Block DCC model for determining dynamic correlations between groups of financial assets is extended to account for the asymmetric effect in the conditional correlation between groups. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative DCC models in out-of-sample forecasting of conditional correlation in the presence of asymmetric effects between blocks of asset returns. Empirical results show that the model is able to capture the behavior of some blocks of currencies in Asia in the turbulent years of the late 1990s.
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119957397
Total Pages : 469 pages
Book Rating : 4.1/5 (199 download)
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.
Author : Kevin Sheppard
Publisher :
ISBN 13 :
Total Pages : 384 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on Modeling Conditional Correlation written by Kevin Sheppard and published by . This book was released on 2004 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Monica Billio
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation written by Monica Billio and published by . This book was released on 2012 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle (2002) and of the Asymmetric Dynamic Conditional Correlation model of Cappiello et al. (2006). The model we propose introduces a block structure in parameter matrices that allows for interdependence with a reduced number of parameters. Our model nests the Flexible Dynamic Conditional Correlation model of Billio et al. (2006) and is named Quadratic Flexible Dynamic Conditional Correlation Multivariate GARCH. In the paper, we provide conditions for positive definiteness of the conditional correlations. We also present an empirical application to the Italian stock market comparing alternative correlation models for portfolio risk evaluation.
Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)
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.
Author : Longbing Cao
Publisher : Springer
ISBN 13 : 3642173136
Total Pages : 589 pages
Book Rating : 4.6/5 (421 download)
Download or read book Advanced Data Mining and Applications written by Longbing Cao and published by Springer. This book was released on 2010-11-18 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the ever-growing power of generating, transmitting, and collecting huge amounts of data, information overloadis nowan imminent problemto mankind. The overwhelming demand for information processing is not just about a better understanding of data, but also a better usage of data in a timely fashion. Data mining, or knowledge discovery from databases, is proposed to gain insight into aspects ofdata and to help peoplemakeinformed,sensible,and better decisions. At present, growing attention has been paid to the study, development, and application of data mining. As a result there is an urgent need for sophisticated techniques and toolsthat can handle new ?elds of data mining, e. g. , spatialdata mining, biomedical data mining, and mining on high-speed and time-variant data streams. The knowledge of data mining should also be expanded to new applications. The 6th International Conference on Advanced Data Mining and Appli- tions(ADMA2010)aimedtobringtogethertheexpertsondataminingthrou- out the world. It provided a leading international forum for the dissemination of original research results in advanced data mining techniques, applications, al- rithms, software and systems, and di?erent applied disciplines. The conference attracted 361 online submissions from 34 di?erent countries and areas. All full papers were peer reviewed by at least three members of the Program Comm- tee composed of international experts in data mining ?elds. A total number of 118 papers were accepted for the conference. Amongst them, 63 papers were selected as regular papers and 55 papers were selected as short papers.
Author : Maria Kasch
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book Volatility Threshold Dynamic Conditional Correlations written by Maria Kasch and published by . This book was released on 2012 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a modeling framework for the study of changes in cross-market comovement conditional on volatility regimes. Methodologically, we extend the Dynamic Conditional Correlation multivariate GARCH model to allow the dynamics of correlations to depend on asset variances through a threshold structure. The empirical application of our model to a sample of international stock markets in 1994-2011 indicates that the periods of market turbulence are associated with an increase in cross-market comovement. The modeling framework proposed in the paper represents a useful tool for the study of market contagion.
Author : Jean-David Fermanian
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (931 download)
Download or read book On the Stationarity of Dynamic Conditional Correlation Models written by Jean-David Fermanian and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
