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Author : Gary Guojun Lee
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.:/5 (318 download)
Download or read book Long-run and Short-run Modeling of Asset Return Volatility written by Gary Guojun Lee and published by . This book was released on 1994 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Halbert White
Publisher : Oxford University Press, USA
ISBN 13 : 9780198296836
Total Pages : 512 pages
Book Rating : 4.2/5 (968 download)
Download or read book Cointegration, Causality, and Forecasting written by Halbert White and published by Oxford University Press, USA. This book was released on 1999 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Author : Phelim P. Boyle
Publisher : JAI Press Incorporated
ISBN 13 : 9780762303267
Total Pages : 280 pages
Book Rating : 4.3/5 (32 download)
Download or read book Advances in Futures and Options Research written by Phelim P. Boyle and published by JAI Press Incorporated. This book was released on 1999-11-22 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of a series which focuses on advances in futures and options research, this title discusses a variety of topics in the field.
Author : Eric Zivot
Publisher : Springer Science & Business Media
ISBN 13 : 9780387955490
Total Pages : 648 pages
Book Rating : 4.9/5 (554 download)
Download or read book Modeling Financial Time Series with S-PLUS written by Eric Zivot and published by Springer Science & Business Media. This book was released on 2003-09-12 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of financial econometrics has exploded since the early 1990s. This book represents an integration of theory, methods and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. It shows the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts.
Author : Neil Shephard
Publisher : Oxford University Press, USA
ISBN 13 : 0199257205
Total Pages : 534 pages
Book Rating : 4.1/5 (992 download)
Download or read book Stochastic Volatility written by Neil Shephard and published by Oxford University Press, USA. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
Author : Francis X. Diebold
Publisher : Oxford University Press, USA
ISBN 13 : 0199338302
Total Pages : 285 pages
Book Rating : 4.1/5 (993 download)
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press, USA. This book was released on 2015 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Financial and Macroeconomic Connectedness, Francis Diebold and Kamil Yilmaz propose several connectedness measures for financial and macroeconomic networks based on forecast error variance decompositions from approximating vector autoregressions. The authors characterize connectedness across major asset markets and financial institutions within the U.S. and across countries since the late 1990s.
Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470997990
Total Pages : 1691 pages
Book Rating : 4.4/5 (79 download)
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.
Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 0470998016
Total Pages : 437 pages
Book Rating : 4.4/5 (79 download)
Download or read book Market Risk Analysis, Practical Financial Econometrics written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-05-27 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Author : Van-Nam Huynh
Publisher : Springer Science & Business Media
ISBN 13 : 3319033956
Total Pages : 570 pages
Book Rating : 4.3/5 (19 download)
Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.
Author : G. Elliott
Publisher : Elsevier
ISBN 13 : 0444513957
Total Pages : 1071 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Author : Imad A. Moosa
Publisher : Edward Elgar Publishing
ISBN 13 : 1785369954
Total Pages : 253 pages
Book Rating : 4.7/5 (853 download)
Download or read book Econometrics as a Con Art written by Imad A. Moosa and published by Edward Elgar Publishing. This book was released on 2017-07-28 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imad Moosa challenges convention with this comprehensive and compelling critique of econometrics, condemning the common practices of misapplied statistical methods in both economics and finance.
Author : René Carmona
Publisher : Springer Science & Business Media
ISBN 13 : 3642257461
Total Pages : 478 pages
Book Rating : 4.6/5 (422 download)
Download or read book Numerical Methods in Finance written by René Carmona and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.
Author : Samuelson Hong, Wei-Chiang
Publisher : IGI Global
ISBN 13 : 1466636297
Total Pages : 357 pages
Book Rating : 4.4/5 (666 download)
Download or read book Modeling Applications and Theoretical Innovations in Interdisciplinary Evolutionary Computation written by Samuelson Hong, Wei-Chiang and published by IGI Global. This book was released on 2013-03-31 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolutionary computation has emerged as a major topic in the scientific community as many of its techniques have successfully been applied to solve problems in a wide variety of fields. Modeling Applications and Theoretical Innovations in Interdisciplinary Evolutionary Computation provides comprehensive research on emerging theories and its aspects on intelligent computation. Particularly focusing on breaking trends in evolutionary computing, algorithms, and programming, this publication serves to support professionals, government employees, policy and decision makers, as well as students in this scientific field.
Author : CFA Institute
Publisher : John Wiley & Sons
ISBN 13 : 1119787963
Total Pages : 647 pages
Book Rating : 4.1/5 (197 download)
Download or read book Portfolio Management in Practice, Volume 2 written by CFA Institute and published by John Wiley & Sons. This book was released on 2020-12-10 with total page 647 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover the latest essential resource on asset allocation for students and investment professionals. Part of the CFA Institute’s three-volume Portfolio Management in Practice series, Asset Allocation offers a deep, comprehensive treatment of the asset allocation process and the underlying theories and markets that support it. As the second volume in the series, Asset Allocation meets the needs of both graduate-level students focused on finance and industry professionals looking to become more dynamic investors. Filled with the insights and industry knowledge of the CFA Institute’s subject matter experts, Asset Allocation effectively blends theory and practice while helping the reader expand their skillsets in key areas of interest. This volume provides complete coverage on the following topics: Setting capital market expectations to support the asset allocation process Principles and processes in the asset allocation process, including handling ESG-integration and client-specific constraints Allocation beyond the traditional asset classes to include allocation to alternative investments The role of exchange-traded funds can play in implementing investment strategies An integrative case study in portfolio management involving a university endowment To further enhance your understanding of tools and techniques explored in Asset Allocation, don’t forget to pick up the Portfolio Management in Practice, Volume 2: Asset Allocation Workbook. The workbook is the perfect companion resource containing learning outcomes, summary overview sections, and challenging practice questions that align chapter-by-chapter with the main text.
Author : Dale Gray
Publisher : John Wiley & Sons
ISBN 13 : 9780470756324
Total Pages : 362 pages
Book Rating : 4.7/5 (563 download)
Download or read book Macrofinancial Risk Analysis written by Dale Gray and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.
Author :
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9394958304
Total Pages : 228 pages
Book Rating : 4.3/5 (949 download)
Download or read book INTERNATIONAL CONFERENCE ON ADVANCES IN BUSINESS MANAGEMENT AND INTELLIGENCE SYSTEM-22 written by and published by Archers & Elevators Publishing House. This book was released on with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rajnish Mehra
Publisher : Elsevier
ISBN 13 : 0080555853
Total Pages : 635 pages
Book Rating : 4.0/5 (85 download)
Download or read book Handbook of the Equity Risk Premium written by Rajnish Mehra and published by Elsevier. This book was released on 2011-08-11 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
