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Author : Iason Kynigakis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (112 download)
Download or read book Essays on Financial Econometrics and Forecasting written by Iason Kynigakis and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ekaterina Smetanina
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Essays in Financial Econometrics and Forecasting written by Ekaterina Smetanina and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tim Bollerslev
Publisher : OUP Oxford
ISBN 13 : 0191572195
Total Pages : 432 pages
Book Rating : 4.1/5 (915 download)
Download or read book Volatility and Time Series Econometrics written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.
Author : Kasper Lund-Jensen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (93 download)
Download or read book Essays on Forecast Evaluation and Financial Econometrics written by Kasper Lund-Jensen and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author : Niels Haldrup
Publisher : OUP Oxford
ISBN 13 : 0191669547
Total Pages : 393 pages
Book Rating : 4.1/5 (916 download)
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.
Author : Rui Fan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Financial Econometrics written by Rui Fan and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byung-Dong Seo
Publisher : ProQuest
ISBN 13 : 9780542856037
Total Pages : 302 pages
Book Rating : 4.8/5 (56 download)
Download or read book Three Essays in Financial Econometrics written by Byung-Dong Seo and published by ProQuest. This book was released on 2006 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay investigates the relationship between financial durations and volatility of asset prices. A duration process extracted from stock transaction data is included as an explanatory variable to the time series models of realized volatility. Financial durations have strong forecasting power for volatility dynamics.
Author : Soheil Rashid Nadimi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (91 download)
Download or read book Essays in Financial Econometrics and Quantitative Industrial Organization written by Soheil Rashid Nadimi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of one essay in financial econometrics and two essays in quantitative industrial organization. The first essay studies the relationship between stock return volatility and current and prior shocks to oil price volatility. We study the behavior of aggregate stock markets as well as individual industry sectors. Our results show that lagged stock return volatility is the main determinant of current stock return volatility in aggregate markets, with oil price volatility providing no additional information that can be used to forecast stock return volatility. For individual industry sectors, we find a robust and stable prediction relationship only for the chemicals industry. Additional estimation exercises confirm the robustness of these results. The second essay uses a Bertrand-Nash price-competition framework to models a vertically integrated provider (VIP) that is a monopoly supplier of an essential input for downstream production. An input price that is "too high" can lead to inefficient foreclosure and one that is "too low" creates incentives for nonprice discrimination. The range of non-exclusionary input prices is circumscribed by the input prices generated on the basis of upper-bound and lower-bound displacement ratios. The admissible range of the ratio of downstream to upstream "price-cost" margins for the VIP is increasing in the degree of product differentiation and reduces to a single ratio in the limit as the products become perfectly homogeneous. The third essay explores the relationship between upstream input prices and downstream market exclusion under a Stackelberg quantity-competition framework. Market exclusion is a concern when input prices are "too high" and "too low" because it can result in inefficient foreclosure and sabotage, respectively. Consistent with the results obtained in the second essay, the safe harbor range of downstream to upstream "price-cost" margin ratios is decreasing in the degree of product homogeneity and approaches a single ratio in the limit as the products become perfectly homogeneous. This single margin ratio preserves equality between the VIP's wholesale and retail "price-cost" margins. A key finding for competition policy is that the bounds of non-exclusionary input prices are markedly wider under Bertrand-Nash competition than they are under Stackelberg competition. Hence, it is critical that the antitrust and regulatory authorities understand the nature of the industry competition so that rules governing permissible conduct are properly calibrated to yield efficient outcomes.
Author : Juri Marcucci
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (255 download)
Download or read book Essays on Financial Econometrics written by Juri Marcucci and published by . This book was released on 2005 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three self-contained chapters dealing with volatility modeling and forecasting. In the first chapter we compare a set of standard GARCH models with a group of Markov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. The empirical analysis demonstrates that MRS-GARCH models do really outperform all standard GARCH models in forecasting volatility at horizons shorter than one week. In particular, all tests reject the presence of a better model than the MRS-GARCH with normal innovations. However, at forecast horizons longer than one week, standard asymmetric GARCH models tend to be superior. In chapter 2 a new model to analyze the comovements in the volatilities of a portfolio is proposed. The Pure Variance Common Features model is a factor model for the conditional variances of a portfolio of assets, designed to isolate a small number of variance features that drive all assets' volatilities. It decomposes the conditional variance into a short-run idiosyncratic component (a low-order ARCH process) and a long-run component (the variance factors). An empirical example provides evidence that models with very few variance features perform well in capturing the long-run common volatilities of the equity components of the Dow Jones. In the third and last chapter we compare standard univariate models and multivariate factor models in terms of their ability to forecast the realized variances of a group of major international stock exchanges. Our results show that those models adopting equally weighted regional factors outperform all the others. In addition, models that use factors obtained from canonical correlation analysis tend to outperform all the others that employ different multivariate techniques, therefore confirming their predicting power.
Author : Rita Biswas
Publisher : Emerald Group Publishing
ISBN 13 : 1789733898
Total Pages : 168 pages
Book Rating : 4.7/5 (897 download)
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Author : Jiang Liang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (19 download)
Download or read book Three essays on financial econometrics written by Jiang Liang and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential policy ..."--Author's abstract.
Author : Yong Bao
Publisher :
ISBN 13 :
Total Pages : 430 pages
Book Rating : 4.3/5 (121 download)
Download or read book Essays on Finite Sample Inference and Financial Econometrics written by Yong Bao and published by . This book was released on 2004 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ruijun Bu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (972 download)
Download or read book Essays in Financial Econometrics and Time Series Analysis written by Ruijun Bu and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexander Chudik
Publisher : Emerald Group Publishing
ISBN 13 : 1802620613
Total Pages : 360 pages
Book Rating : 4.8/5 (26 download)
Download or read book Essays in Honor of M. Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Author : Jee Young Lee
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (824 download)
Download or read book Essays on Financial Econometrics written by Jee Young Lee and published by . This book was released on 2012 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the U.S. stock market. The first chapter explores a four-moment CAPM under regime switching which incorporates the risk premia for skewness and kurtosis. As expected, estimates of risk premia for covariance, co-skewness and co-kurtosis risks are different across regimes. By allowing time-varying (regime-specific) volatility correlations among asset specific innovations it captures strong volatility correlations in a crash state. As the market evolves to a more bullish state the volatility correlations weaken. Large changes in skewness and kurtosis are linked to regime switching. Optimal weights within a portfolio of small-caps, large-caps, and a risk-free asset are different across regimes when skewness and kurtosis preferences are considered. The second chapter investigates price discovery and information revealing patterns during the two recent volatile U.S. stock market periods (Tech bust 2000 and credit crisis 2008). In volatile markets, a large-cap stock (MSFT) reveals a considerable amount of private information through trades before the open and during trading hours while a small-cap stock (OPNT) shows little trade-correlated information over the trading day. This is contrary to a typical expectation that small firms' trades are more informative. Information interactions between two stocks are most active during the first-half and the last-half of trading hours while dormant during mid-day trading. This implies information revealing patterns could be different in volatile markets. The third chapter provides a framework to improve risk-adjusted returns in tactical asset allocation. Tactical asset allocation involves judgments of the future asset returns in a portfolio and thus it is important to identify the market turns. With this motivation, a Markov switching model is applied to the spread returns between small-caps and large-caps to specify market states. Next, a dynamic ordered probit model is adopted to estimate market bullishness (latent variable) and forecasts of the latent variable are used to get tactical tilts between two opposing assets. To get better forecasts of asset returns, the higher moments of the regime switching model are incorporated since changes in skewness and kurtosis reflect changing market conditions. Finally, it is observed that higher moments can provide better downside protections in tactical asset allocation.
Author : Jianxun Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Three Essays in Financial Econometrics written by Jianxun Li and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
