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Essays On Multivariate Modelling Of Financial Markets Using Copula And Sentiment Networks
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Book Synopsis Essays on Multivariate Modelling of Financial Markets Using Copula and Sentiment Networks by : Anastasija Tetereva
Download or read book Essays on Multivariate Modelling of Financial Markets Using Copula and Sentiment Networks written by Anastasija Tetereva and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multivariate dependence structures play an important role in finance. The modelling and accurate prediction of multivariate financial time series is an important component of asset pricing and portfolio management. This doctoral thesis comprises three essays that address the question of multivariate dependencies using high-frequency data and innovative sources of information such as news analytics. These essays make complementary contributions to the field of financial econometrics and can be read independently of each other. The first essay focuses on the improvement of Value at Risk prediction based on highfrequency data. The novel concept of the realized hierarchical Archimedean copula is introduced. It is proposed estimating the structure and the parameters of the hierarchical Archimedean copula using the realized correlation matrix only. This approach allows one to estimate the multivariate distribution of daily returns based on intraday information. Moreover, the proposed estimator does not suffer from the curse of dimensionality. In this essay, the realized hierarchical Archimedean copula is applied to manage the risk of high-dimensional portfolios. The evidence of the superior forecasting power of our approach, compared to a set of existing models, is provided. The second essay investigates the role of news sentiment data in improving forecasts in financial econometrics. The objective of this paper is to answer the question regarding whether the class of stock-price-relevant news is wider than firm-specific announcements. For this purpose, causal links between news sentiments and excess returns are studied by means of an adaptive lasso. It is concluded that unexpected returns in the whole economy can be explained by news originating from the financial and energy sectors. In other words, the news spillover effects are dominating the direct effects of sectoral news. Therefore, including exogenous financial or energy sentim.
Book Synopsis Essays on Multivariate Volatility Models by : Trung Thanh Le
Download or read book Essays on Multivariate Volatility Models written by Trung Thanh Le and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is an empirical study of how multivariate models can be applied to analyze the dependence between emerging financial markets and the US financial market. This thesis comprises of 3 complete papers which will use this data set as follows. The first paper is an comparative research on estimations and evaluations of 54 individual volatility models which belong to 10 different model classes being the Riskmetrics models, the Constant model (CCC), the Orthogonal-GARCH model (O-GARCH), the Dynamic Conditional Correlation model (DCC), the Asymmetric DCC model (ADCC), the Consistent DCC model (CDCC) and the Student's t-DCC model (TDCC). All of these models were estimated and then ranked by using both in-sample and out of sample performances. This research is to emphasize the importance of model selection in modeling the volatility of financial time series from emerging financial markets. The second paper uses the TDCC model which performed relatively well among the 54 volatility of financial time series from emerging financial markets. The second paper uses the TDCC model which performed relatively well among the 54 volatility models to analyze the volatilities and correlations of the emerging markets. Specifically, the pair-wise conditional correlations between each of the emerging markets and the US market, generated by the TDCC model, were used to perform empirical tests for the contagion of the 3 recent financial crises which are the Dotcom crisis in 2000, the Sub-prime in 2007-2008 and the Global financial crisis in 2008-2009. The use of the TDCC model which assumes a Student's t-distribution is greatly meaningful for the empirical tests for contagion as it deals with the fat-tailed behaviours of the financial data. The third paper is the application of multivariate copula, which provides a connection between the univariate distributions and the multivariate distribution inside the DCC model, to analyze the emerging data. The flexibility of the copula model that separates the multivariate distribution assumption from those univariate series allows us to have an efficient examination of the dependence structure of emerging financial markets. Following success of the copula models in recent studies, our research, which is the first to use the copula model to analyze high-dimensional data, confirms a significant improvement of the copula from the standard DCC model.
Book Synopsis Copulae and Multivariate Probability Distributions in Finance by : Alexandra Dias
Download or read book Copulae and Multivariate Probability Distributions in Finance written by Alexandra Dias and published by Routledge. This book was released on 2013-08-21 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.
Book Synopsis Essays in Risk Modeling, Asset Pricing and Network Measurement in Finance by : Bixi Jian
Download or read book Essays in Risk Modeling, Asset Pricing and Network Measurement in Finance written by Bixi Jian and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Modelling financial interconnections and forecasting extreme losses are crucial for risk management in financial markets. This thesis studies multivariate risk spillovers at the high-dimensional market network level, as well as univariate extreme risk modelling at the asset level. The first chapter proposes a novel time series econometric method to measure high-dimensional directed and weighted market network structures. Direct and spillover effects at different horizons, between nodes and between groups, are measured in a unified framework. Using a similar network measurement framework, the second chapter investigates the relationship between stock illiquidity spillovers and the cross-section of expected returns. I find that central industries in illiquidity transmission networks earn higher average stock returns (around 4% per year) than other industries.The third chapter proposes a new Dynamic Stable GARCH model, which involves the use of stable distribution with time-dependent tail parameters to model and forecast tail risks in an extremely high volatility environment. We can differentiate extreme risks from normal market fluctuations with this model." --
Book Synopsis Multivariate GARCH and Dynamic Copula Models for Financial Time Series by : Martin Grziska
Download or read book Multivariate GARCH and Dynamic Copula Models for Financial Time Series written by Martin Grziska and published by Pro BUSINESS. This book was released on 2015-02-05 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents several non-parametric and parametric models for estimating dynamic dependence between financial time series and evaluates their ability to precisely estimate risk measures. Furthermore, the different dependence models are used to analyze the integration of emerging markets into the world economy. In order to analyze numerous dependence structures and to discover possible asymmetries, two distinct model classes are investigated: the multivariate GARCH and Copula models. On the theoretical side a new dynamic dependence structure for multivariate Archimedean Copulas is introduced which lifts the prevailing restriction to two dimensions and extends the multivariate dynamic Archimedean Copulas to more than two dimensions. On this basis a new mixture copula is presented using the newly invented multivariate dynamic dependence structure for the Archimedean Copulas and mixing it with multivariate elliptical copulas. Simultaneously a new process for modeling the time-varying weights of the mixture copula is introduced: this specification makes it possible to estimate various dependence structures within a single model. The empirical analysis of different portfolios shows that all equity portfolios and the bond portfolios of the emerging markets exhibit negative asymmetries, i.e. increasing dependence during market downturns. However, the portfolio consisting of the developed market bonds does not show any negative asymmetries. Overall, the analysis of the risk measures reveals that parametric models display portfolio risk more precisely than non-parametric models. However, no single parametric model dominates all other models for all portfolios and risk measures. The investigation of dependence between equity and bond portfolios of developed countries, proprietary, and secondary emerging markets reveals that secondary emerging markets are less integrated into the world economy than proprietary. Thus, secondary emerging markets are moresuitable to diversify a portfolio consisting of developed equity or bond indices than proprietary.
Book Synopsis Essays on Nonlinear Modeling of Real and Financial Markets with Applications to U.S. and International Data by : Zeynep Senyuz
Download or read book Essays on Nonlinear Modeling of Real and Financial Markets with Applications to U.S. and International Data written by Zeynep Senyuz and published by . This book was released on 2008 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Multivariate Modelling in Finance by : Emmanouil Karimalis
Download or read book Essays in Multivariate Modelling in Finance written by Emmanouil Karimalis and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Multivariate Modeling in Financial Econometrics by : Emre Yoldas
Download or read book Essays on Multivariate Modeling in Financial Econometrics written by Emre Yoldas and published by . This book was released on 2008 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main theme of this dissertation is multivariate modeling in financial econometrics. The first chapter uses the fundamental properties of the multivariate distributions of independent random variables to develop a new specification testing methodology for dynamic models. The second chapter generalizes this methodology to tests of distributional assumptions and dynamic specification in multivariate models. In the third chapter we focus on testing and modeling asymmetries in the second moments of multiple equity returns. The methodological advances in nonlinear time series models with non-normal density functions and in density forecasting have emphasized the need for developing dynamic specification tests for the joint hypothesis of i.i.d. ness and density functional form. In Chapter I, we propose a new battery of tests that rely on the fundamental properties of independent random variables with identical distributions and we introduce a graphical device, the autocontour, that helps to visualize the modeling problems. Based on the theoretical probability coverage of the autocontours, we construct a battery of asymptotic t-tests and chi-squared tests, which have standard convergence rates. The tests are very powerful against violations of both hypotheses. They do not require either a transformation of the original data or an assessment of goodness-of-fit à-la Kolmogorov and explicitly account for parameter uncertainty. Monte Carlo simulations show that their finite sample performance is very good even in relatively small samples. We illustrate the usefulness of this methodology within the context of GARCH and ACD models using returns and duration data from the US equity markets.
Book Synopsis Essays on the empirical analysis of financial markets by : Robert Czudaj
Download or read book Essays on the empirical analysis of financial markets written by Robert Czudaj and published by . This book was released on 2013 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Exponential Series Estimation and Application of Copulas in Financial Econometrics by : Chin Man Chui
Download or read book Essays on Exponential Series Estimation and Application of Copulas in Financial Econometrics written by Chin Man Chui and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays. They are related to the exponential series estimation of copulas and the application of parametric copulas in financial econometrics. Chapter II proposes a multivariate exponential series estimator (ESE) to estimate copula density nonparametrically. The ESE attains the optimal rate of convergence for nonparametric density. More importantly, it overcomes the boundary bias of copula estimation. Extensive Monte Carlo studies show the proposed estimator outperforms kernel and log-spline estimators in copula estimation. Discussion is provided regarding application of the ESE copula to Asian stock returns during the Asian financial crisis. The ESE copula complements the existing nonparametric copula studies by providing an alternative dedicated to the tail dependence measure. Chapter III proposes a likelihood ratio statistic using a nonparametric exponential series approach. The order of the series is selected by Bayesian Information Criterion (BIC). I propose three further modifications on my test statistic: 1) instead of putting equal weight on the individual term of the exponential series, I consider geometric and exponential BIC average weights; 2) rather than using a nested sequence, I consider all subsets to select the optimal terms in the exponential series; 3) I estimate the likelihood ratio statistic using the likelihood cross-validation. The extensive Monte Carlo simulations show that the proposed tests enjoy good finite sample performances compared to the traditional methods such as the Anderson-Darling test. In addition, this data-driven method improves upon Neyman0́9s score test. I conclude that the exponential series likelihood ratio test can complement the Neyman0́9s score test. Chapter IV models and forecasts S & P500 index returns using the Copula-VAR approach. I compare the forecast performance of the Copula-VAR model with a classical VAR model and a univariate time series model. I use this approach to forecast S & P500 index returns. I apply a modified Diebold-Mariano test to test the equality of mean squared forecast errors and utilize a forecast encompassing test to evaluate forecasts. The findings suggest that allowing a more flexible specification in the error terms using copula tends improve the forecast accuracy. I also demonstrate combined forecasts improved forecasts accuracy over individual models.
Book Synopsis Essays on Modelling Financial Markets with Ambiguity and Liquidity Constraints by : Ji Yeol Jimmy Oh
Download or read book Essays on Modelling Financial Markets with Ambiguity and Liquidity Constraints written by Ji Yeol Jimmy Oh and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Modelling and Forecasting Stock Markets with Investor Sentiment by : Chang Sun
Download or read book Essays on Modelling and Forecasting Stock Markets with Investor Sentiment written by Chang Sun and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Dynamic Linkages Among Stock, Money, and Currency Markets by : Warren Chang-Jay Hu
Download or read book Essays on Dynamic Linkages Among Stock, Money, and Currency Markets written by Warren Chang-Jay Hu and published by . This book was released on 1996 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling of Financial Markets Using Neural Networks by : Luhui Yan
Download or read book Modelling of Financial Markets Using Neural Networks written by Luhui Yan and published by . This book was released on 2009 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Multivariate Volatility and Dependence Models for Financial Time Series by : Diaa Noureldin
Download or read book Essays on Multivariate Volatility and Dependence Models for Financial Time Series written by Diaa Noureldin and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau
Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
