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Essays On The Term Structure Of Interest Rates And Long Run Variance Of Stock Returns
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Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Book Synopsis Essays on the Volatility of the Term Structure of Interest Rates by : Miguel A. Ferreira
Download or read book Essays on the Volatility of the Term Structure of Interest Rates written by Miguel A. Ferreira and published by . This book was released on 2000 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : David Meiselman
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Term Structure of Interest Rates by : Lance Alexander Fisher
Download or read book Essays on the Term Structure of Interest Rates written by Lance Alexander Fisher and published by . This book was released on 1988 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Honor of M. Hashem Pesaran by : Alexander Chudik
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 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part B 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.
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.
Book Synopsis Term Structure of Interest Rates by : Burton Gordon Malkiel
Download or read book Term Structure of Interest Rates written by Burton Gordon Malkiel and published by Princeton University Press. This book was released on 2015-12-08 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 618 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis The Cyclical Behavior of the Term Structure of Interest Rates by : Reuben A. Kessel
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis American Doctoral Dissertations by :
Download or read book American Doctoral Dissertations written by and published by . This book was released on 1996 with total page 872 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Fama Portfolio by : Eugene F. Fama
Download or read book The Fama Portfolio written by Eugene F. Fama and published by University of Chicago Press. This book was released on 2017-09-07 with total page 826 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few scholars have been as influential in finance, both as an academic field and an industry, as Eugene Fama. Since writing his groundbreaking 1970 essay on efficient capital markets, Fama has written over 100 papers and books that have been cited hundreds of thousands of times. Yet there is no one collection where one can easily find his best work in all fields. "The Fama Portfolio" will be an outstanding and unprecedented resource in a field that still concentrates mainly on questions stemming from Fama s work: Is the finance industry too large or too small? Why do people continue to pay active managers so much? What accounts for the monstrous amount of trading? Do high-speed traders help or hurt? The ideas, facts, and empirical methods in Fama s work continue to guide these investigations. "The Fama Portfolio" will be a historic and long-lasting collection of some of the finest work ever produced in finance."
Book Synopsis Term-Structure Models by : Damir Filipovic
Download or read book Term-Structure Models written by Damir Filipovic and published by Springer Science & Business Media. This book was released on 2009-07-28 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea—price equals expected discounted payoff—that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model—consumption based, CAPM, multifactor, term structure, and option pricing—is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Identification and Inference for Econometric Models by : Donald W. K. Andrews
Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-07-04 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 volume contains the papers presented in honor of the lifelong achievements of Thomas J. Rothenberg on the occasion of his retirement. The authors of the chapters include many of the leading econometricians of our day, and the chapters address topics of current research significance in econometric theory. The chapters cover four themes: identification and efficient estimation in econometrics, asymptotic approximations to the distributions of econometric estimators and tests, inference involving potentially nonstationary time series, such as processes that might have a unit autoregressive root, and nonparametric and semiparametric inference. Several of the chapters provide overviews and treatments of basic conceptual issues, while others advance our understanding of the properties of existing econometric procedures and/or propose others. Specific topics include identification in nonlinear models, inference with weak instruments, tests for nonstationary in time series and panel data, generalized empirical likelihood estimation, and the bootstrap.
Book Synopsis Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards by :
Download or read book Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards written by and published by . This book was released on 2008 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theses on any subject submitted by the academic libraries in the UK and Ireland.
