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Author : Peter Honorè (FIN)
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (464 download)
Download or read book Maximum Likelihood Estimation of Non-linear Continuous-time Term-structure Models written by Peter Honorè (FIN) and published by . This book was released on 1997 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Honoré
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (62 download)
Download or read book Maximum Likelihood Estimation of Non-linear Continuous-time Term-structure Models written by Peter Honoré and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Honoré
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (62 download)
Download or read book Maximum Likelihood Estimation of Non-linear Continuous-time Term-structure Models written by Peter Honoré and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cheng Qin Shi
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Estimate of Term Structure Using DQTSM's with Non-Linear MPR. written by Cheng Qin Shi and published by . This book was released on 2016 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main subject of this paper is to estimate the term structure of default-free zero-coupon bond yields using DQTSMs and to investigate the interplay between the models' theoretical specifications and their empirical performance. The research relies on the Extended Kalman Filter and the Quasi-Maximum-Likelihood method. I assume the market price of risk to be a function of state variables that can be affine or nonlinear. The results suggest that, ... firstly, discrete-time quadratic term structure models, like their continuous-time counterparts, can overcome the drawbacks of the affine term structure models. Secondly, the nonlinear market price of risk model, especially, the cubic market price of risk model outperforms the affine, constant and zero market price of risk models in explaining historical bond price behaviour in the United States.
Author : Wolfgang Lemke
Publisher : Springer Science & Business Media
ISBN 13 : 3540283447
Total Pages : 224 pages
Book Rating : 4.5/5 (42 download)
Download or read book Term Structure Modeling and Estimation in a State Space Framework written by Wolfgang Lemke and published by Springer Science & Business Media. This book was released on 2005-12-08 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.
Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Author : David C. Heath Glen Swindle
Publisher : American Mathematical Soc.
ISBN 13 : 9780821867624
Total Pages : 184 pages
Book Rating : 4.8/5 (676 download)
Download or read book Introduction to Mathematical Finance written by David C. Heath Glen Swindle and published by American Mathematical Soc.. This book was released on 2000-01-25 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, Theorie de la speculation. In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand. This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field.
Author : Christiane Fuchs
Publisher : Springer Science & Business Media
ISBN 13 : 3642259693
Total Pages : 439 pages
Book Rating : 4.6/5 (422 download)
Download or read book Inference for Diffusion Processes written by Christiane Fuchs and published by Springer Science & Business Media. This book was released on 2013-01-18 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diffusion processes are a promising instrument for realistically modelling the time-continuous evolution of phenomena not only in the natural sciences but also in finance and economics. Their mathematical theory, however, is challenging, and hence diffusion modelling is often carried out incorrectly, and the according statistical inference is considered almost exclusively by theoreticians. This book explains both topics in an illustrative way which also addresses practitioners. It provides a complete overview of the current state of research and presents important, novel insights. The theory is demonstrated using real data applications.
Author : Yacine Aït-Sahalia
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (321 download)
Download or read book Maximum Likelihood Estimation of Discretely Sampled Diffusions written by Yacine Aït-Sahalia and published by . This book was released on 1998 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: When a continuous-time diffusion is observed only at discrete dates, not necessarily close together, the likelihood function of the observations is in most cases not explicitly computable. Researchers have relied on simulations of sample paths in between the observations points, or numerical solutions of partial differential equations, to obtain estimates of the function to be maximized. By contrast, we construct a sequence of fully explicit functions which we show converge under very general conditions, including non-ergodicity, to the true (but unknown) likelihood function of the discretely-sampled diffusion. We document that the rate of convergence of the sequence is extremely fast for a number of examples relevant in finance. We then show that maximizing the sequence instead of the true function results in an estimator which converges to the true maximum-likelihood estimator and shares its asymptotic properties of consistency, asymptotic normality and efficiency. Applications to the valuation of derivative securities are also discussed.
Author : Drew Creal
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (13 download)
Download or read book Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastic Volatility written by Drew Creal and published by . This book was released on 2017 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating parameters from the objective function that cause problems for conventional methods. We find that spanned models capture the cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section.
Author : S.T Rachev
Publisher : Elsevier
ISBN 13 : 0080557732
Total Pages : 707 pages
Book Rating : 4.0/5 (85 download)
Download or read book Handbook of Heavy Tailed Distributions in Finance written by S.T Rachev and published by Elsevier. This book was released on 2003-03-05 with total page 707 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. The goal is to have a broad group of outstanding volumes in various areas of finance. The Handbook of Heavy Tailed Distributions in Finance is the first handbook to be published in this series. This volume presents current research focusing on heavy tailed distributions in finance. The contributions cover methodological issues, i.e., probabilistic, statistical and econometric modelling under non- Gaussian assumptions, as well as the applications of the stable and other non -Gaussian models in finance and risk management.
Author : Seungmoon Choi
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Continuous-time Diffusion Models written by Seungmoon Choi and published by . This book was released on 2005 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Drew D. Creal
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (894 download)
Download or read book Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastic Volatility written by Drew D. Creal and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating parameters from the objective function that cause problems for conventional methods. We find that spanned models capture the cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section.
Author : Pietro Veronesi
Publisher : John Wiley & Sons
ISBN 13 : 1118709195
Total Pages : 630 pages
Book Rating : 4.1/5 (187 download)
Download or read book Handbook of Fixed-Income Securities written by Pietro Veronesi and published by John Wiley & Sons. This book was released on 2016-04-04 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.
Author : Yacine Aït-Sahalia
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (321 download)
Download or read book Estimating Affine Multifactor Term Structure Models Using Closed-form Likelihood Expansions written by Yacine Aït-Sahalia and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but infeasible) MLE. Using US Treasury data, we estimate nine affine yield models with different market price of risk specifications. MLE allows non-nested model comparison using likelihood ratio tests; the preferred model depends on the market price of risk. Estimation with simulated and real data suggests our technique is much closer to true MLE than Euler and quasi-maximum likelihood (QML) methods.
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Download or read book Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data written by Michael W. Brandt and published by . This book was released on 2006 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show how to estimate affine term structure models from a panel of noisy bond yields using simulated maximum likelihood based on importance sampling. We approximate the likelihood function of the state-space representation of the model by correcting the likelihood function of a Gaussian first-order approximation for the non-normalities introduced by the affine factor dynamics. Depending on the accuracy of the correction, which is computed through simulations, the quality of the estimator ranges from quasi-maximum likelihood (no correction) to exact maximum likelihood as the simulation size grows.
Author : Martin Andreasen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (867 download)
Download or read book Likelihood Inference in Non-linear Term Structure Models written by Martin Andreasen and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
