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Finite Sample Properties Of The Maximum Likelihood Estimator In Autoaggressive Models With Markov Switching
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Book Synopsis Finite-sample Properties of the Maximum Likelihood Estimator in Autoaggressive Models with Markov Switching by : Zacharias G. Psaradakis
Download or read book Finite-sample Properties of the Maximum Likelihood Estimator in Autoaggressive Models with Markov Switching written by Zacharias G. Psaradakis and published by . This book was released on 1995 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finite-sample Properties of the Maximum Likelihood Estimator in Autoregressive Models with Markov Switching by : Zacharias Psaradakis
Download or read book Finite-sample Properties of the Maximum Likelihood Estimator in Autoregressive Models with Markov Switching written by Zacharias Psaradakis and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finite-sample Properties of the Maximum Likelihood Estmator in Autoregressive Models with Markov Switching by : Zacharias Psaradakis
Download or read book Finite-sample Properties of the Maximum Likelihood Estmator in Autoregressive Models with Markov Switching written by Zacharias Psaradakis and published by . This book was released on 1995 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finite Sample Properties of the Maximum Likelihood Estimator in Continuous Time Models by : Nancy Milena Hoyos Gomez
Download or read book Finite Sample Properties of the Maximum Likelihood Estimator in Continuous Time Models written by Nancy Milena Hoyos Gomez and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finite Sample Moments of Maximum Likelihood Estimator in Spatial Models by : Yong Bao
Download or read book Finite Sample Moments of Maximum Likelihood Estimator in Spatial Models written by Yong Bao and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the finite sample properties of the maximum likelihood estimator for the spatial autoregressive model. A stochastic expansion of the score function is used to develop the second-order bias and mean squared error of the maximum likelihood estimator. We show that the results can be expressed in terms of the expectations of cross products of quadratic forms, or ratios of quadratic forms in a normal vector which can be evaluated using the top order invariant polynomial. Our numerical calculations demonstrate that the second-order behaviors of the maximum likelihood estimator depend on the degree of sparseness of the weights matrix.
Book Synopsis Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time Inhomogeneous Markov Regimes by : Demian Pouzo
Download or read book Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time Inhomogeneous Markov Regimes written by Demian Pouzo and published by . This book was released on 2016 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency and local asymptotic normality of the ML estimator under general conditions which allow for autoregressive dynamics in the observable process, time-inhomogeneous Markov regime sequences, and possible model misspecification. A Monte Carlo study examines the finite-sample properties of the ML estimator. An empirical application is also discussed.
Book Synopsis Finite-sample Properties of Maximum-likelihood Estimators by : Alex McMillan
Download or read book Finite-sample Properties of Maximum-likelihood Estimators written by Alex McMillan and published by . This book was released on 1978 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Computational Intelligence Techniques for Trading and Investment by : Christian Dunis
Download or read book Computational Intelligence Techniques for Trading and Investment written by Christian Dunis and published by Routledge. This book was released on 2014-03-26 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational intelligence, a sub-branch of artificial intelligence, is a field which draws on the natural world and adaptive mechanisms in order to study behaviour in changing complex environments. This book provides an interdisciplinary view of current technological advances and challenges concerning the application of computational intelligence techniques to financial time-series forecasting, trading and investment. The book is divided into five parts. The first part introduces the most important computational intelligence and financial trading concepts, while also presenting the most important methodologies from these different domains. The second part is devoted to the application of traditional computational intelligence techniques to the fields of financial forecasting and trading, and the third part explores the applications of artificial neural networks in these domains. The fourth part delves into novel evolutionary-based hybrid methodologies for trading and portfolio management, while the fifth part presents the applications of advanced computational intelligence modelling techniques in financial forecasting and trading. This volume will be useful for graduate and postgraduate students of finance, computational finance, financial engineering and computer science. Practitioners, traders and financial analysts will also benefit from this book.
Book Synopsis Market Risk Analysis, Boxset by : Carol Alexander
Download or read book Market Risk Analysis, Boxset written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-24 with total page 1691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.
Download or read book Journal of Econometrics written by and published by . This book was released on 1998 with total page 830 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analysis of the Likelihood Function for Markov-Switching VAR(CH) Models by : Maddalena Cavicchioli
Download or read book Analysis of the Likelihood Function for Markov-Switching VAR(CH) Models written by Maddalena Cavicchioli and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this work, we give simple matrix formulae for maximum likelihood estimates of parameters in a broad class of vector autoregressions subject to Markovian changes in regime. This allows us to determine explicitly the asymptotic variance-covariance matrix of the estimators, giving a concrete possibility for the use of the classical testing procedures. In the context of multivariate autoregressive conditional heteroskedastic models with changes in regime, we provide formulae for the analytic derivatives of the log likelihood. Then we prove the consistency of some maximum likelihood estimators and give some formulae for the asymptotic variance of the different estimators.
Author :Compiled by the British Library of Political and Economic Science Publisher :Psychology Press ISBN 13 :9780415221054 Total Pages :644 pages Book Rating :4.2/5 (21 download)
Book Synopsis International Bibliography of Economics 1998 by : Compiled by the British Library of Political and Economic Science
Download or read book International Bibliography of Economics 1998 written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 1999-12-16 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: Renowned for its international coverage and rigorous selection procedures, this series provides the most comprehensive and scholarly bibliographic service available in the social sciences. Arranged by topic and indexed by author, subject and place-name, each bibliography lists and annotates the most important works published in its field during the year of 1997, including hard-to-locate journal articles. Each volume also includes a complete list of the periodicals consulted.
Book Synopsis Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component by : Jürgen Franke
Download or read book Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component written by Jürgen Franke and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Maximum Likelihood Estimation of the Markov-Switching GARCH Model by : Maciej Augustyniak
Download or read book Maximum Likelihood Estimation of the Markov-Switching GARCH Model written by Maciej Augustyniak and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Markov-switching GARCH model offers rich dynamics to model financial data. Estimating this path dependent model is a challenging task because exact computation of the likelihood is infeasible in practice. This difficulty led to estimation procedures either based on a simplification of the model or not dependent on the likelihood. There is no method available to obtain the maximum likelihood estimator without resorting to a modification of the model. A novel approach is developed based on both the Monte Carlo expectation-maximization algorithm and importance sampling to calculate the maximum likelihood estimator and asymptotic variance-covariance matrix of the Markov-switching GARCH model. Practical implementation of the proposed algorithm is discussed and its effectiveness is demonstrated in simulation and empirical studies.
Book Synopsis Large Sample Properties of Maximum Likelihood Estimators by : Nicholas Herbert Stern
Download or read book Large Sample Properties of Maximum Likelihood Estimators written by Nicholas Herbert Stern and published by . This book was released on 1980 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Regime-switching and the Estimation of Multifractal Processes by : Laurent E. Calvet
Download or read book Regime-switching and the Estimation of Multifractal Processes written by Laurent E. Calvet and published by . This book was released on 2003 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth autoregressive processes. Finally, high frequency switches generate substantial outliers. Thus, a single mechanism captures three important features of the data that are typically addressed as distinct phenomena in the literature. Maximum likelihood estimation is developed and shown to perform well in finite sample. We estimate on exchange rate data a version of the process with four parameters and more than a thousand states. The estimated model compares favorably to earlier specifications both in- and out-of-sample. Multifractal forecasts slightly improve on GARCH(1,1) at daily and weekly intervals, and provide considerable gains in accuracy at horizons of 10 to 50 days.
Book Synopsis Corporate Risk Management by : Georges Dionne
Download or read book Corporate Risk Management written by Georges Dionne and published by John Wiley & Sons. This book was released on 2019-04-22 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: An updated review of the theories and applications of corporate risk management After the financial crisis of 2008, issues concerning corporate risk management arose that demand new levels of oversight. Corporate Risk Management is an important guide to the topic that puts the focus on the corporate finance dimension of risk management. The author—a noted expert on the topic—presents several theoretical models appropriate for various industries and empirically verifies theoretical propositions. The book also proposes statistical modeling that can evaluate the importance of different risks and their variations according to economic cycles. The book provides an analysis of default, liquidity, and operational risks as well as the failures of LTCM, ENRON, and financial institutions that occurred during the financial crisis. The author also explores Conditional Value at Risk (CVaR), which is central to the debate on the measurement of market risk under Basel III. This important book: Includes a comprehensive review of the aspects of corporate risk management Presents statistical modeling that addresses recent risk management issues Contains an analysis of risk management failures that lead to the 2008 financial crisis Offers a must-have resource from author Georges Dionne the former editor of The Journal of Risk and Insurance Corporate Risk Management provides a modern empirical analysis of corporate risk management across industries. It is designed for use by risk management professionals, academics, and graduate students.
