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Essays On Time Series And Causality Analysis In Financial Markets
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Book Synopsis Essays on Time Series and Causality Analysis in Financial Markets by : Tatevik Zohrabyan
Download or read book Essays on Time Series and Causality Analysis in Financial Markets written by Tatevik Zohrabyan and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market and its various components are currently in turmoil. Many large corporations are devising new ways to overcome the current market instability. Consequently, any study fostering the understanding of financial markets and the dependencies of various market components would greatly benefit both the practitioners and academicians. To understand different parts of the financial market, this dissertation employs time series methods to model causality and structure and degree of dependence. The relationship of housing market prices for nine U.S. census divisions is studied in the first essay. The results show that housing market is very interrelated. The New England and West North Central census divisions strongly lead house prices of the rest of the country. Further evidence suggests that house prices of most census divisions are mainly influenced by house price changes of other regions. The interdependence of oil prices and stock market indices across countries is examined in the second essay. The general dependence structure and degree is estimated using copula functions. The findings show weak dependence between stock market indices and oil prices for most countries except for the large oil producing nations which show high dependence. The dependence structure for most oil consuming (producing) countries is asymmetric implying that stock market index and oil price returns tend to move together more during the market downturn (upturn) than a market boom (downturn). In the third essay, the relationship among stock returns of ten U.S. sectors is studied. Copula models are used to explore the non-linear, general association among the series. The evidence shows that sectors are strongly related to each other. Energy sector is relatively weakly connected with the other sectors. The strongest dependence is between the Industrials and Consumer Discretionary sectors. The high dependence suggests small (if any) gains from industry diversification in U.S. In conclusion, the correct formulation of relationships among variables of interest is crucial. This is one of the fundamental issues in portfolio analysis. Hence, a thorough examination of time series models that are used to understand interactions of financial markets can be helpful for devising more accurate investment strategies.
Book Synopsis Essays on Empirical Time Series Modeling with Causality and Structural Change by : Jin Woong Kim
Download or read book Essays on Empirical Time Series Modeling with Causality and Structural Change written by Jin Woong Kim and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, three related issues of building empirical time series models for financial markets are investigated with respect to contemporaneous causality, dynamics, and structural change. In the first essay, nation-wide industry information transmission among stock returns of ten sectors in the U.S. economy is examined through the Directed Acyclical Graph (DAG) for contemporaneous causality and Bernanke decomposition for dynamics. The evidence shows that the information technology sector is the most root cause sector. Test results show that DAG from ex ante forecast innovations is consistent with the DAG from ex post fit innovations. This supports innovation accounting based on DAGs using ex post innovations. In the second essay, the contemporaneous/dynamic behaviors of real estate and stock returns are investigated. Selected macroeconomic variables are included in the model to explain recent movements of both returns. During 1971-2004, there was a single structural break in October 1980. A distinct difference in contemporaneous causal structure before and after the break is found. DAG results show that REITs take the role of a causal parent after the break. Innovation accounting shows significantly positive responses of real estate returns due to an initial shock in default risk but insignificant responses of stock returns. Also, a shock in short run interest rates affects real estate returns negatively with significance but does not affect stock returns. In the third essay, a structural change in the volatility of five Asian and U.S. stockmarkets is examined during the post-liberalization period (1990-2005) in the Asian financial markets, using the Sup LM test. Four Asian financial markets (Hong Kong,Japan, Korea, and Singapore) experienced structural changes. However, test results do not support the existence of structural change in volatility for Thailand and U.S. Also, results show that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) persistent coefficient increases, but the Autoregressive Conditional heteroskedasticity (ARCH) impact coefficient, implying short run adjustment, decreases in Asian markets. In conclusion, when the econometric model is set up, it is necessary to consider contemporaneous causality and possible structural breaks (changes). The dissertation emphasizes causal inference and structural consistency in econometric modeling. It highlights their importance in discovering contemporaneous/dynamic causal relationships among variables. These characteristics will likely be helpful in generating accurate forecasts.
Book Synopsis Trends and Cycles in Financial Markets by : Jacob B.L. Smith
Download or read book Trends and Cycles in Financial Markets written by Jacob B.L. Smith and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a collection of three essays applying modern time series techniques in the context of financial markets. There is a particular focus on disentangling persistent trend components from transitory cyclical dynamics. The information contained in these cyclical components is leveraged to garner insight into the broader macroeconomy. The first essay, Trend and Cycle in the Yield Curve: A Procedure for Forecasting Recessions, utilizes short-term (slope) dynamics present in the yield curve to predict impending economic downturns. Building on a large body of literature chronicling the relationship between the shape of the yield curve and the business cycle I employ Dynamic Nelson-Siegel modeling to define the level, slope, and curvature characteristics of the term structure through time. Given these dynamics, the trend and cycle are extracted using various decomposition techniques. I show that cycles present within the slope factor are extremely robust predictors of recessions, correctly identifying recessions as much as eighteen months in advance. Moreover, I develop a ``Predictive Power Score'' as a way to quantify my procedure's performance. This score demonstrates the superiority of my procedure over other common leading indicators including the yield spread. This first essay illustrates a common obstacle faced by researchers when attempting to measure cycles in real-time. Symmetric band-pass filters are estimated at the expense of data trimming, i. e. current estimates of the cycle must be sacrificed in order to construct the filtered series. Building on the work of Baxter and King (1999), Christiano and Fitzgerald (2003) construct a ``one-sided" filter which allows the practitioner to obtain estimates of the cycle in real-time. The second essay of this dissertation, Spurious Periodicity in Christiano-Fitzgerald Filtered Time Series, studies the cyclical properties of time series filtered by the Christiano and Fitzgerald (2003) filter. I show that in the presence of a stochastic trend the CF filter imposes spurious periodicity onto the filtered series, i. e. the filter imparts cyclicality where there is none. This is due to a common defect among band-pass filters which allows cyclical components of the error term to pass through the filter to the estimated cycle. In practice, this leads to cycle estimates of higher amplitude and longer duration. The third essay of this dissertation focuses on an emerging financial market which until recently has received little attention in the academic literature. An Analysis of Bitcoin Exchange Rates studies the relationship between bitcoin prices and the foreign exchange market in a way that has not been done before. I contend that the best way to think of bitcoins is as digital gold. Bitcoins are a purely electronic commodity traded for speculative purposes as well as in exchange for goods and services. Just like physical gold the relative price of bitcoins denominated in different currencies implies a nominal exchange rate. This is a departure from previous literature which treats bitcoin prices themselves as exchange rates. I argue that treating prices as exchange rates is inappropriate as one would not consider the price of physical gold to be an exchange rate. Therefore, I characterize the behavior of nominal exchange rates implied by relative bitcoin prices. I show that the implied nominal exchange rate is highly cointegrated with the nominal exchange rate determined in conventional foreign currency exchange markets. I also show that the direction of causality flows from the conventional markets to the bitcoin market and not vice-versa which can explain much of the volatility in bitcoin prices.
Book Synopsis Essays on Forecasting and Hedging Models in the Oil Market and Causality Analysis in the Korean Stock Market by : Hankyeung Choi
Download or read book Essays on Forecasting and Hedging Models in the Oil Market and Causality Analysis in the Korean Stock Market written by Hankyeung Choi and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, three related issues concerning empirical time series models for energy financial markets and the stock market were investigated. The purpose of this dissertation was to analyze the interdependence of price movements, focusing on the forecasting models for crude oil prices and the hedging models for gasoline prices, and to study the change in the contemporaneous causal relationship between investors' activities and stock price movements in the Korean stock market. In the first essay, the nature of forecasting crude oil prices based on financial data for the oil and oil product market is examined. As crack spread and oil-related Exchange-Traded Funds (ETFs) have enabled more consumers and investors to gain access to the crude oil and petroleum products markets, I investigated whether crack spread and oil ETFs were good predictors of oil prices and attempted to determine whether crack spread or oil ETFs were better at explaining oil price movements. In the second essay, the effectiveness of diverse hedging models for the unleaded gasoline price is examined using futures and ETFs. I calculated the optimal hedge ratios for gasoline futures and gasoline ETF utilizing several advanced econometric models and then compared their hedging performances. In the third essay, the contemporaneous causal relationship between multiple players' activities and stock price movements in the Korean stock market was investigated using the framework of a DAG model. The causal impacts of three players' activities in regard to stock return and stock price volatility are examined, concentrating on foreign investor activities. Within this framework, two Korean stock markets, the KSE and KOSDAQ markets, are analyzed and compared. Recognizing the global financial crisis of 2008, the change in casual relationships was examined in terms of pre- and post-break periods. In conclusion, when a multivariate econometric model is developed for multi-markets and multi-players, it is necessary to consider a number of attributes on data relations, including cointegration, causal relationship, time-varying correlation and variance, and multivariate non-normality. This dissertation employs several econometric models to specify these characteristics. This approach will be useful in further studies of the information transmission mechanism among multi-markets or multi-players.
Book Synopsis Essays in Empirical Finance by : Anders C. Johansson
Download or read book Essays in Empirical Finance written by Anders C. Johansson and published by Goteborg University. This book was released on 2007 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to Modern Time Series Analysis by : Gebhard Kirchgässner
Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2012-10-09 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
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 Essays in Econometrics by : Clive W. J. Granger
Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-07-23 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.
Book Synopsis Time Series Analysis and Adjustment by : Haim Y. Bleikh
Download or read book Time Series Analysis and Adjustment written by Haim Y. Bleikh and published by CRC Press. This book was released on 2016-02-24 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Time Series Analysis and Adjustment the authors explain how the last four decades have brought dramatic changes in the way researchers analyze economic and financial data on behalf of economic and financial institutions and provide statistics to whomsoever requires them. Such analysis has long involved what is known as econometrics, but time series analysis is a different approach driven more by data than economic theory and focused on modelling. An understanding of time series and the application and understanding of related time series adjustment procedures is essential in areas such as risk management, business cycle analysis, and forecasting. Dealing with economic data involves grappling with things like varying numbers of working and trading days in different months and movable national holidays. Special attention has to be given to such things. However, the main problem in time series analysis is randomness. In real-life, data patterns are usually unclear, and the challenge is to uncover hidden patterns in the data and then to generate accurate forecasts. The case studies in this book demonstrate that time series adjustment methods can be efficaciously applied and utilized, for both analysis and forecasting, but they must be used in the context of reasoned statistical and economic judgment. The authors believe this is the first published study to really deal with this issue of context.
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.
Book Synopsis Essays in Economic and Financial Time Series Analysis by : Fotis Papailias
Download or read book Essays in Economic and Financial Time Series Analysis written by Fotis Papailias and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The research presented in this thesis contributes to four areas in the Economic and Financial Time Series Analysis literature. These include the topics of (i) Selection of Long Memory Time Series Models, (ii) Bootstrapping Strongly Dependent Data, (iii) Forecasting Key Macroeconomic Variables and (iv) Portfolio Optimisation. The first part focuses on strongly dependent series. It aims to establish an asymptotically consistent information criterion for long memory processes when the long memory parameter is semi parametrically estimated. A set of Monte Carlo experiments and the analysis of monthly inflation time series show the validity of the new methodology. Next, we are concerned with the issue of bootstrap in strongly dependent data. We introduce a fractional differencing bootstrap methodology that allows the implementation of any resampling method in such series. Evidence of robustness is given by Monte Carlo experiments using various block and residuals resampling schemes. The second part of the thesis investigates the issue of forecasting macroeconomic variables. Heuristic methods for the optimisation of information criteria are employed and their forecasting performance is compared to the standard choices in the literature. The empirical application in Euro Area dataset suggests that the non-standard methods should be taken into consideration as they provide better forecasts on average. The last part of the thesis investigates the applied performance of covariance shrinkage in the portfolio optimisation problem when the universe of assets is large. Our approach suggests the use of a shrinkage coefficient that optimises functions with financial interpretation. Empirical results provide evidence that the shrinkage portfolios obtained using the suggested approach are characterised by higher Sharpe Ratios, cumulative returns and profit/loss ratio.
Book Synopsis Advances In Quantitative Analysis Of Finance And Accounting (Vol. 3): Essays In Microstructure In Honor Of David K Whitcomb by : Cheng Few Lee
Download or read book Advances In Quantitative Analysis Of Finance And Accounting (Vol. 3): Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and published by World Scientific. This book was released on 2006-04-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Book Synopsis Catalogus Bibliothecae Hesselianae by :
Download or read book Catalogus Bibliothecae Hesselianae written by and published by . This book was released on 1747 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Nonlinear and Explosive Time Series by : Hendrik Kaufmann
Download or read book Essays on Nonlinear and Explosive Time Series written by Hendrik Kaufmann and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Financial Econometrics and Time Series Analysis by : Ruijun Bu
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:
Book Synopsis Essays on Financial Time Series Analysis by : Jonas Rende
Download or read book Essays on Financial Time Series Analysis written by Jonas Rende and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Finance and Time Series Econometrics by : Scott A. Spear
Download or read book Essays in Finance and Time Series Econometrics written by Scott A. Spear and published by . This book was released on 1997 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
