Heavy Tails And Copulas: Topics In Dependence Modelling In Economics And Finance

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Publisher : World Scientific
ISBN 13 : 9814689815
Total Pages : 303 pages
Book Rating : 4.8/5 (146 download)

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Book Synopsis Heavy Tails And Copulas: Topics In Dependence Modelling In Economics And Finance by : Rustam Ibragimov

Download or read book Heavy Tails And Copulas: Topics In Dependence Modelling In Economics And Finance written by Rustam Ibragimov and published by World Scientific. This book was released on 2017-02-24 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Overall, the book is highly technical, including full mathematical proofs of the results stated. Potential readers are post-graduate students or researchers in Quantitative Risk Management willing to have a manual with the state-of-the-art on portfolio diversification and risk aggregation with heavy tails, including the fundamental theorems as well as collateral (but most useful) results on majorization and copula theory.'Quantitative Finance This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.

Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)

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Publisher : Springer Nature
ISBN 13 : 9464634081
Total Pages : 725 pages
Book Rating : 4.4/5 (646 download)

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Book Synopsis Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) by : Khaled Elbagory

Download or read book Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024) written by Khaled Elbagory and published by Springer Nature. This book was released on 2024 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Innovations in Multivariate Statistical Modeling

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Publisher : Springer Nature
ISBN 13 : 3031139712
Total Pages : 434 pages
Book Rating : 4.0/5 (311 download)

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Book Synopsis Innovations in Multivariate Statistical Modeling by : Andriëtte Bekker

Download or read book Innovations in Multivariate Statistical Modeling written by Andriëtte Bekker and published by Springer Nature. This book was released on 2022-12-15 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multivariate statistical analysis has undergone a rich and varied evolution during the latter half of the 20th century. Academics and practitioners have produced much literature with diverse interests and with varying multidisciplinary knowledge on different topics within the multivariate domain. Due to multivariate algebra being of sustained interest and being a continuously developing field, its appeal breaches laterally across multiple disciplines to act as a catalyst for contemporary advances, with its core inferential genesis remaining in that of statistics. It is exactly this varied evolution caused by an influx in data production, diffusion, and understanding in scientific fields that has blurred many lines between disciplines. The cross-pollination between statistics and biology, engineering, medical science, computer science, and even art, has accelerated the vast amount of questions that statistical methodology has to answer and report on. These questions are often multivariate in nature, hoping to elucidate uncertainty on more than one aspect at the same time, and it is here where statistical thinking merges mathematical design with real life interpretation for understanding this uncertainty. Statistical advances benefit from these algebraic inventions and expansions in the multivariate paradigm. This contributed volume aims to usher novel research emanating from a multivariate statistical foundation into the spotlight, with particular significance in multidisciplinary settings. The overarching spirit of this volume is to highlight current trends, stimulate a focus on, and connect multidisciplinary dots from and within multivariate statistical analysis. Guided by these thoughts, a collection of research at the forefront of multivariate statistical thinking is presented here which has been authored by globally recognized subject matter experts.

Applications + Practical Conceptualization + Mathematics = fruitful Innovation

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Publisher : Springer
ISBN 13 : 4431553428
Total Pages : 282 pages
Book Rating : 4.4/5 (315 download)

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Book Synopsis Applications + Practical Conceptualization + Mathematics = fruitful Innovation by : Robert S. Anderssen

Download or read book Applications + Practical Conceptualization + Mathematics = fruitful Innovation written by Robert S. Anderssen and published by Springer. This book was released on 2015-10-11 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of papers presented at the conference “Forum Math-for-Industry 2014” for which the unifying theme was “Applications + Practical Conceptualization + Mathematics = fruitful Innovation” in October 2014. This epigram encapsulates the dynamics of the process that takes an application through to an innovation. Industrial mathematics can be viewed as the causal engine that implements the epigram by taking an Application such as input and convolving it with a mixture of Practical Conceptualization and Mathematics to generate a fruitful Innovation as output. The book illustrates various aspects of the two-way interaction between applications and their association highlighting how practical conceptualization assists with the linking of the question that encapsulates the current application to the relevant mathematics. The contents of this volume address productive and successful interaction between industry and mathematicians, as well as the cross-fertilization and collaboration that result when mathematics is involved with the advancement of science and technology.

Contemporary Topics in Finance

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Publisher : John Wiley & Sons
ISBN 13 : 1119565197
Total Pages : 400 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Contemporary Topics in Finance by : Iris Claus

Download or read book Contemporary Topics in Finance written by Iris Claus and published by John Wiley & Sons. This book was released on 2019-02-27 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature surveys presented in this edited volume provide readers with up-to-date reviews on eleven contemporary topics in finance. Topics include unconventional monetary policy, implicit bank guarantees, and financial fraud - all linked to the exceptional event of the Global Financial Crisis Explores how recent studies on inflation risk premia and finance and productivity have benefitted from new empirical methods and the availability of relevant data Demonstrates how angel investing, venture capital, relationship lending and microfinance have benefitted from increased research as they have become more seasoned Investigates crowdfunding and crypto-currencies which have both arisen from recent technological developments

Causal Inference in Econometrics

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Publisher : Springer
ISBN 13 : 3319272845
Total Pages : 626 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Causal Inference in Econometrics by : Van-Nam Huynh

Download or read book Causal Inference in Econometrics written by Van-Nam Huynh and published by Springer. This book was released on 2015-12-28 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.

Nonstationary Systems: Theory and Applications

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Publisher : Springer Nature
ISBN 13 : 3030821102
Total Pages : 439 pages
Book Rating : 4.0/5 (38 download)

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Book Synopsis Nonstationary Systems: Theory and Applications by : Fakher Chaari

Download or read book Nonstationary Systems: Theory and Applications written by Fakher Chaari and published by Springer Nature. This book was released on 2021-07-21 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an overview of current and recent methods for the analysis of the nonstationary processes, focusing on cyclostationary systems that are ubiquitous in various application fields. Based on the 13th Workshop on Nonstationary Systems and Their Applications, held on February 3-5, 2020, in Grodek nad Dunajcem, Poland, the book merges theoretical contributions describing new statistical and intelligent methods for analyzing nonstationary processes, and applied works showing how the proposed methods can be implemented in practice and do perform in real-world case studies. A significant part of the book is dedicated to nonstationary systems applications, with a special emphasis on those in condition monitoring.

Innovative Approaches in Agent-Based Modelling and Business Intelligence

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Publisher : Springer
ISBN 13 : 9811318492
Total Pages : 284 pages
Book Rating : 4.8/5 (113 download)

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Book Synopsis Innovative Approaches in Agent-Based Modelling and Business Intelligence by : Setsuya Kurahashi

Download or read book Innovative Approaches in Agent-Based Modelling and Business Intelligence written by Setsuya Kurahashi and published by Springer. This book was released on 2018-12-08 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book thoroughly prepares intermediate-level readers for research in social science, organization studies, economics, finance, marketing science, and business science as complex adaptive systems. It presents the advantages of social simulation studies and business intelligence to those who are not familiar with the computational research approach, and offers experienced modelers various instructive examples of using agent-based modeling and business intelligence approaches to inspire their own work. In addition, the book discusses cutting-edge techniques for complex adaptive systems using their applications. To date, business science studies have focused only on data science and analyses of business problems. However, using these studies to enhance the capabilities of conventional techniques in the fields has not been investigated adequately. This book addresses managing the issues of societies, firms, and organizations to profit from interaction with agent-based modeling, human- and computer- mixed systems, and business intelligence approaches, an area that is fundamental for complex but bounded rational business environments. With detailed research by leading authors in the field, Innovative Approaches in Agent-Based Modelling and Business Intelligence inspires readers to join with other disciplines and extend the scope of the book with their own unique contributions. It also includes the common challenges encountered in computational social science and business science to enable researchers, students, and professionals to resolve their own problems.

Essentials of Time Series for Financial Applications

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Publisher : Academic Press
ISBN 13 : 0128134100
Total Pages : 435 pages
Book Rating : 4.1/5 (281 download)

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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)

Proceedings of the 9th European Conference on Innovation and Entrepreneurship

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Publisher : Academic Conferences Limited
ISBN 13 : 1910309451
Total Pages : 671 pages
Book Rating : 4.9/5 (13 download)

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Book Synopsis Proceedings of the 9th European Conference on Innovation and Entrepreneurship by : Brendan Galbraith

Download or read book Proceedings of the 9th European Conference on Innovation and Entrepreneurship written by Brendan Galbraith and published by Academic Conferences Limited. This book was released on 2014 with total page 671 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Public Sector Entrepreneurship and the Integration of Innovative Business Models

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Publisher : IGI Global
ISBN 13 : 1522522166
Total Pages : 330 pages
Book Rating : 4.5/5 (225 download)

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Book Synopsis Public Sector Entrepreneurship and the Integration of Innovative Business Models by : Lewandowski, Mateusz

Download or read book Public Sector Entrepreneurship and the Integration of Innovative Business Models written by Lewandowski, Mateusz and published by IGI Global. This book was released on 2017-01-05 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: While private, for-profit businesses have typically been the most experienced with entrepreneurship, the study of public sector business models is coming to the forefront of entrepreneurial discussions. This shift has allowed researchers and practitioners to expand on their knowledge of positive business choices and paved the way for more profitable business empires. Public Sector Entrepreneurship and the Integration of Innovative Business Models is a comprehensive source of academic research that discusses the latest entrepreneurial strategies, achievements, and challenges in public sector contexts. Highlighting relevant topics such as public management, crowdsourcing, municipal cooperation, and public sector marketing, this is an ideal resource for managers, practitioners, researchers, and professionals interested in learning more about public sector business ideals, and how these models are shaping positive entrepreneurial communities around the world.

Financial Econometrics

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Publisher : Princeton University Press
ISBN 13 : 0691242364
Total Pages : 528 pages
Book Rating : 4.6/5 (912 download)

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Book Synopsis Financial Econometrics by : Christian Gourieroux

Download or read book Financial Econometrics written by Christian Gourieroux and published by Princeton University Press. This book was released on 2022-12-13 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

30th Anniversary Edition

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Publisher : Emerald Group Publishing
ISBN 13 : 1781903107
Total Pages : 500 pages
Book Rating : 4.7/5 (819 download)

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Book Synopsis 30th Anniversary Edition by : Dek Terrell

Download or read book 30th Anniversary Edition written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2012-12-17 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 30th Volume of Advances in Econometrics is in honor of the two individuals whose hard work has helped ensure thirty successful years of the series, Thomas Fomby and R. Carter Hill.

GARCH Models

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Publisher : John Wiley & Sons
ISBN 13 : 1119313562
Total Pages : 507 pages
Book Rating : 4.1/5 (193 download)

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Book Synopsis GARCH Models by : Christian Francq

Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-03-19 with total page 507 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Intelligent Systems and Applications in Business and Finance

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Publisher : Springer Nature
ISBN 13 : 3030936996
Total Pages : 221 pages
Book Rating : 4.0/5 (39 download)

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Book Synopsis Intelligent Systems and Applications in Business and Finance by : Pasi Luukka

Download or read book Intelligent Systems and Applications in Business and Finance written by Pasi Luukka and published by Springer Nature. This book was released on 2022-03-03 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a selection of current research results in the field of intelligent systems and draws attention to their practical applications and issues connected with the areas of decision-making, economics, business and finance. The nature of the contributions is interdisciplinary – combining psychological and behavioural aspects with the theory and practice of decision-support, design of intelligent systems and development of machine learning tools. The authors, among other topics, discuss the multi-expert evaluation with intangible criteria, suggest a redefinition of the standard multiple-criteria decision-making framework, propose novel methods for causal map analysis and new feature selection methods. The topics are selected to stress the potential of the up-to-date intelligent methods to deal with practical problems relevant in these areas and to provide inspiration for advanced students, researchers and practitioners in the respective fields.

Proceedings of the XIV INTERNATIONAL SYMPOSIUM SYMORG 2014

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Publisher : FON
ISBN 13 : 8676802955
Total Pages : 1795 pages
Book Rating : 4.6/5 (768 download)

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Book Synopsis Proceedings of the XIV INTERNATIONAL SYMPOSIUM SYMORG 2014 by : Aleksandar Marković

Download or read book Proceedings of the XIV INTERNATIONAL SYMPOSIUM SYMORG 2014 written by Aleksandar Marković and published by FON. This book was released on 2014-06-05 with total page 1795 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Proceedings of the XIII International Symposium SymOrg 2012: Innovative Management and Business Performance

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Publisher : University of Belgrade, Faculty of Organizational Sciences
ISBN 13 : 8676802556
Total Pages : 2004 pages
Book Rating : 4.6/5 (768 download)

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Book Synopsis Proceedings of the XIII International Symposium SymOrg 2012: Innovative Management and Business Performance by :

Download or read book Proceedings of the XIII International Symposium SymOrg 2012: Innovative Management and Business Performance written by and published by University of Belgrade, Faculty of Organizational Sciences . This book was released on 2012-06-03 with total page 2004 pages. Available in PDF, EPUB and Kindle. Book excerpt: