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Author : Chunsheng Zhou
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Forecasting Long- and Short-horizon Stock Returns in a Unified Framework written by Chunsheng Zhou and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470037695
Total Pages : 673 pages
Book Rating : 4.4/5 (7 download)
Download or read book Financial Modeling of the Equity Market written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2006-03-31 with total page 673 pages. Available in PDF, EPUB and Kindle. Book excerpt: An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
Author :
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.3/5 ( download)
Download or read book The Fed in Print written by and published by . This book was released on 1996 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : Mathias Külpmann
Publisher : Springer Science & Business Media
ISBN 13 : 3540247653
Total Pages : 233 pages
Book Rating : 4.5/5 (42 download)
Download or read book Irrational Exuberance Reconsidered written by Mathias Külpmann and published by Springer Science & Business Media. This book was released on 2013-03-20 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathias Külpmann presents a framework to evaluate whether the stock market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive stock returns. It should be of interest to anyone interested in what drives performance in the stock market.
Author : Ruth Judson
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 ( download)
Download or read book Do Low Human Capital Coefficients Make Sense? written by Ruth Judson and published by . This book was released on 1996 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rebel A. Cole
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.3/5 ( download)
Download or read book The Effect of Changes in Ownership Structure on Performance written by Rebel A. Cole and published by . This book was released on 1996 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul H. Kupiec
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.3/5 ( download)
Download or read book Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems written by Paul H. Kupiec and published by . This book was released on 1996 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles A. Fleischman
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.E/5 ( download)
Download or read book The Endogeneity of Employment Adjustment Costs written by Charles A. Fleischman and published by . This book was released on 1996 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maria Perozek
Publisher :
ISBN 13 :
Total Pages : 338 pages
Book Rating : 4.:/5 (89 download)
Download or read book Essays on Intergenerational Transfers and Wealth Accumulation Over the Life-cycle written by Maria Perozek and published by . This book was released on 1997 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Neil Baily
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.E/5 ( download)
Download or read book Labor Productivity written by Martin Neil Baily and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Russell L. Lamb
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Why are Estimates of Agricultural Supply Response So Variable? written by Russell L. Lamb and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul S. Calem
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book The Impact of Capital-based Regulation on Bank Risk-taking written by Paul S. Calem and published by . This book was released on 1996 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raymond Board
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.E/5 ( download)
Download or read book Smart Systems and Simple Agents written by Raymond Board and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raphael W. Bostic
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.E/5 ( download)
Download or read book The Role of Race in Mortgage Lending written by Raphael W. Bostic and published by . This book was released on 1997 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laurent E. Calvet
Publisher : Academic Press
ISBN 13 : 0080559964
Total Pages : 273 pages
Book Rating : 4.0/5 (85 download)
Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. - Presents a powerful new technique for forecasting volatility - Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities - The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
Author : Russell L. Lamb
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.E/5 ( download)
Download or read book Off-farm Labor Supply and Fertilizer Use written by Russell L. Lamb and published by . This book was released on 1996 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
