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Author : Wen-ling Tsai Lin
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (318 download)
Download or read book Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market written by Wen-ling Tsai Lin and published by . This book was released on 1989 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard T. Baillie
Publisher : Cambridge University Press
ISBN 13 : 9780521396905
Total Pages : 280 pages
Book Rating : 4.3/5 (969 download)
Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Author : Dominique M. Guillaume
Publisher : Springer Science & Business Media
ISBN 13 : 1461546214
Total Pages : 173 pages
Book Rating : 4.4/5 (615 download)
Download or read book Intradaily Exchange Rate Movements written by Dominique M. Guillaume and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen & Associates in Zurich, started to collect intra-daily exchange rate data. The resulting database provides new insight into the foreign exchange markets and thereby opens up previously unexplored avenues of research. Intra-Daily Exchange Rate Movements presents an extensive study of the Olsen & Associates database and is one of the first monographs in this exciting new area. This book aims to provide a systematic study of the characteristics of intra-daily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macroeconomic fundamentals and institutional characteristics. This leads to a survey of the main stylized facts. Using the O&A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis. The book shows how these approaches can be used to model intra-daily exchange rate movements and highlights some of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling.
Author : Adrian R. Bell
Publisher : Edward Elgar Publishing
ISBN 13 : 0857936093
Total Pages : 494 pages
Book Rating : 4.8/5 (579 download)
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Author : Thomas B. Fomby
Publisher : Emerald Group Publishing
ISBN 13 : 0762312742
Total Pages : 407 pages
Book Rating : 4.7/5 (623 download)
Download or read book Econometric Analysis of Financial and Economic Time Series written by Thomas B. Fomby and published by Emerald Group Publishing. This book was released on 2006-03-01 with total page 407 pages. Available in PDF, EPUB and Kindle. Book excerpt: Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.
Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Author : Van-Nam Huynh
Publisher : Springer
ISBN 13 : 3319134493
Total Pages : 486 pages
Book Rating : 4.3/5 (191 download)
Download or read book Econometrics of Risk written by Van-Nam Huynh and published by Springer. This book was released on 2014-12-15 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.
Author : Wolfgang A. Gaul
Publisher : Springer Science & Business Media
ISBN 13 : 3642559913
Total Pages : 516 pages
Book Rating : 4.6/5 (425 download)
Download or read book Classification, Automation, and New Media written by Wolfgang A. Gaul and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given the huge amount of information in the internet and in practically every domain of knowledge that we are facing today, knowledge discovery calls for automation. The book deals with methods from classification and data analysis that respond effectively to this rapidly growing challenge. The interested reader will find new methodological insights as well as applications in economics, management science, finance, and marketing, and in pattern recognition, biology, health, and archaeology.
Author : Tavana, Madjid
Publisher : IGI Global
ISBN 13 : 1466615907
Total Pages : 462 pages
Book Rating : 4.4/5 (666 download)
Download or read book Decision Making Theories and Practices from Analysis to Strategy written by Tavana, Madjid and published by IGI Global. This book was released on 2012-05-31 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: The vast amount of information that must be considered to solve inherently ill-structured and complex strategic problems creates a need for tools and techniques to help decision-makers recognize the complexity of this process and develop a rational model for strategy evaluation. Decision Making Theories and Practices from Analysis to Strategy is a definitive focus on analytical strategic decision-making. This work is comprised of sophisticated tools and methodologies developed by researchers and vendors to improve decision making for business strategy. Extracting from a wide range of disciplines, including accounting, finance, information systems, international management, marketing, organizational management, operations research, production and operations management, and strategic management, this volume provides a conceptual and a utilitarian guide to decision making, perfect for both researchers and practicing professionals alike.
Author : Mardi Dungey
Publisher : Oxford University Press
ISBN 13 : 0199842604
Total Pages : 232 pages
Book Rating : 4.1/5 (998 download)
Download or read book Transmission of Financial Crises and Contagion: written by Mardi Dungey and published by Oxford University Press. This book was released on 2011-01-07 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.
Author : Lucio Sarno
Publisher : Cambridge University Press
ISBN 13 : 1139435043
Total Pages : 334 pages
Book Rating : 4.1/5 (394 download)
Download or read book The Economics of Exchange Rates written by Lucio Sarno and published by Cambridge University Press. This book was released on 2003-01-09 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.
Author : Wolfgang Karl Härdle
Publisher : Springer
ISBN 13 : 3662544865
Total Pages : 369 pages
Book Rating : 4.6/5 (625 download)
Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer. This book was released on 2017-08-02 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
Author : Pierre L. Siklos
Publisher : Cambridge University Press
ISBN 13 : 1139433466
Total Pages : 372 pages
Book Rating : 4.1/5 (394 download)
Download or read book The Changing Face of Central Banking written by Pierre L. Siklos and published by Cambridge University Press. This book was released on 2002-11-21 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: Central banks have emerged as the key players in national and international policy making. This book explores their evolution since World War II in 20 industrial countries. The study considers the mix of economic, political and institutional forces that have affected central bank behaviour and its relationship with government. The analysis reconciles vastly different views about the role of central banks in the making of economic policies. One finding is that monetary policy is an evolutionary process.
Author : Andreas S. Weigend
Publisher : Routledge
ISBN 13 : 0429961197
Total Pages : 664 pages
Book Rating : 4.4/5 (299 download)
Download or read book Time Series Prediction written by Andreas S. Weigend and published by Routledge. This book was released on 2018-05-04 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a summary of a time series forecasting competition that was held a number of years ago. It aims to provide a snapshot of the range of new techniques that are used to study time series, both as a reference for experts and as a guide for novices.
Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1420099558
Total Pages : 654 pages
Book Rating : 4.4/5 (2 download)
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Author : Ronald W. Masulis
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.3/5 ( download)
Download or read book Stock Return Dynamics Over Intra-day Trading and Nontrading Periods in the London Stock Market written by Ronald W. Masulis and published by . This book was released on 1992 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Reinhold Decker
Publisher : Springer Science & Business Media
ISBN 13 : 3642572804
Total Pages : 494 pages
Book Rating : 4.6/5 (425 download)
Download or read book Classification and Information Processing at the Turn of the Millennium written by Reinhold Decker and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains revised versions of selected papers presented dur ing the 23rd Annual Conference of the German Classification Society GfKl (Gesellschaft fiir Klassifikation). The conference took place at the Univer sity of Bielefeld (Germany) in March 1999 under the title "Classification and Information Processing at the Turn of the Millennium". Researchers and practitioners - interested in data analysis, classification, and information processing in the broad sense, including computer science, multimedia, WWW, knowledge discovery, and data mining as well as spe cial application areas such as (in alphabetical order) biology, finance, genome analysis, marketing, medicine, public health, and text analysis - had the op portunity to discuss recent developments and to establish cross-disciplinary cooperation in their fields of interest. Additionally, software and book pre sentations as well as several tutorial courses were organized. The scientific program of the conference included 18 plenary or semi plenary lectures and more than 100 presentations in special sections. The peer-reviewed papers are presented in 5 chapters as follows: • Data Analysis and Classification • Computer Science, Computational Statistics, and Data Mining • Management Science, Marketing, and Finance • Biology, Genome Analysis, and Medicine • Text Analysis and Information Retrieval As an unambiguous assignment of results to single chapters is sometimes difficult papers are grouped in a way that the editors found appropriate.
