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Modeling Systemic Risk With Markov Switching Graphical Sur Models
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Book Synopsis Modeling Systemic Risk with Markov Switching Graphical SUR Models by : Daniele Bianchi
Download or read book Modeling Systemic Risk with Markov Switching Graphical SUR Models written by Daniele Bianchi and published by . This book was released on 2019 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a Markov Switching Graphical Seemingly Unrelated Regression (MS-GSUR) model to investigate time-varying systemic risk based on a range of multi-factor asset pricing models. Methodologically, we develop a Markov Chain Monte Carlo (MCMC) scheme in which latent states are identified on the basis of a novel weighted eigenvector centrality measure. An empirical application to the S&P100 constituents shows that cross-firm connectivity significantly increased over the period 1999-2003 and the financial crisis of 2008-2009. Finally, we provide evidence that firm-level centrality does not correlate with market values and is instead positively linked to realized financial losses.
Book Synopsis The Essentials of Machine Learning in Finance and Accounting by : Mohammad Zoynul Abedin
Download or read book The Essentials of Machine Learning in Finance and Accounting written by Mohammad Zoynul Abedin and published by Routledge. This book was released on 2021-06-20 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: • A useful guide to financial product modeling and to minimizing business risk and uncertainty • Looks at wide range of financial assets and markets and correlates them with enterprises’ profitability • Introduces advanced and novel machine learning techniques in finance such as Support Vector Machine, Neural Networks, Random Forest, K-Nearest Neighbors, Extreme Learning Machine, Deep Learning Approaches and applies them to analyze finance data sets • Real world applicable examples to further understanding
Book Synopsis Hidden Markov Models by : Ramaprasad Bhar
Download or read book Hidden Markov Models written by Ramaprasad Bhar and published by Springer Science & Business Media. This book was released on 2004-07-20 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas of social science research as well. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics. As such we only cover the necessary theoretical aspects in each chapter while focusing on real life applications using contemporary data mainly from OECD group of countries. The underlying assumption here is that the researchers in financial economics would be familiar with such application although empirical techniques would be more traditional econometrics. Keeping the application level in a more familiar level, we focus on the methodology based on hidden Markov processes. This will, we believe, help the reader to develop more in-depth understanding of the modeling issues thereby benefiting their future research.
Book Synopsis Systemic Risk of Commercial Banks by : Xiaochun Liu
Download or read book Systemic Risk of Commercial Banks written by Xiaochun Liu and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the Conditional Value-at-Risk approach of Adrian and Brunnermeier (2011) by following systemic risk structures subject to economic regime shifts, which are governed by a discrete, latent Markov process.
Book Synopsis Special Issue Systemic Risk: Data, Models and Metrics by :
Download or read book Special Issue Systemic Risk: Data, Models and Metrics written by and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Finite Mixture and Markov Switching Models by : Sylvia Frühwirth-Schnatter
Download or read book Finite Mixture and Markov Switching Models written by Sylvia Frühwirth-Schnatter and published by Springer. This book was released on 2006-08-08 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.
Book Synopsis Modelling Volatility with Markov-switching GARCH Models by : María Ferrer Fernández
Download or read book Modelling Volatility with Markov-switching GARCH Models written by María Ferrer Fernández and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Market Model as a Markov Switching Model Using the Kalman Filter by : Menahem Rosenberg
Download or read book The Market Model as a Markov Switching Model Using the Kalman Filter written by Menahem Rosenberg and published by . This book was released on 1996 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analytical Derivatives for Markov Switching Models by : Jeff Gable
Download or read book Analytical Derivatives for Markov Switching Models written by Jeff Gable and published by . This book was released on 1995 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Model Selection and Markov Switching by :
Download or read book On Model Selection and Markov Switching written by and published by . This book was released on 2004 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Component Markov Regime-Switching Autoregressive Conditional Range Model by : Richard D. F. Harris
Download or read book A Component Markov Regime-Switching Autoregressive Conditional Range Model written by Richard D. F. Harris and published by . This book was released on 2016 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop a component Markov switching conditional volatility model based on the intraday range and evaluate its performance in forecasting the weekly volatility of the S&P 500 index. We compare the performance of the range-based Markov switching model with that of a number of well established return-based and range-based volatility models, namely EWMA, GARCH and FIGARCH models, the Markov Regime-Switching GARCH model of Klaassen (2002), the hybrid EWMA model of Harris and Yilmaz (2009), and the CARR model of Chou (2005). We show that the range-based Markov switching conditional volatility models produce more accurate out-of-sample forecasts, contain more information about true volatility, and exhibit similar or better performance when used for the estimation of value at risk.
Book Synopsis Multivariate Systemic Risk: Evidence from a Regime-switching Factor Copula by : Paul Bochmann
Download or read book Multivariate Systemic Risk: Evidence from a Regime-switching Factor Copula written by Paul Bochmann and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Risk with Markov-Switching GARCH Models by : David Ardia
Download or read book Forecasting Risk with Markov-Switching GARCH Models written by David Ardia and published by . This book was released on 2019 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We perform a large-scale empirical study to compare the forecasting performance of single-regime and Markov-switching GARCH (MSGARCH) models from a risk management perspective. We find that, for daily, weekly, and ten-day equity log-returns, MSGARCH models yield more accurate Value-at-Risk, Expected Shortfall, and left-tail distribution forecasts than their single-regime counterpart. Also, our results indicate that accounting for parameter uncertainty improves left-tail predictions, independently of the inclusion of the Markov-switching mechanism.
Book Synopsis Time-varying Systemic Risk by : Dong Hwan Oh
Download or read book Time-varying Systemic Risk written by Dong Hwan Oh and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Reconnecting the Markov Switching Model with Economic Fundamentals by : Ulf G. Erlandsson
Download or read book Reconnecting the Markov Switching Model with Economic Fundamentals written by Ulf G. Erlandsson and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-Switching Model Selection Using Kullback-Leibler Divergence by : Aaron Smith
Download or read book Markov-Switching Model Selection Using Kullback-Leibler Divergence written by Aaron Smith and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously. In applying Akaike information criterion (AIC), which is an estimate of KL divergence, we find that AIC retains too many states and variables in the model. Hence, we derive a new information criterion, Markov switching criterion (MSC), which yields a marked improvement in state determination and variable selection because it imposes an appropriate penalty to mitigate the over-retention of states in the Markov chain. MSC performs well in Monte Carlo studies with single and multiple states, small and large samples, and low and high noise. Furthermore, it not only applies to Markov-switching regression models, but also performs well in Markov-switching autoregression models. Finally, the usefulness of MSC is illustrated via applications to the U.S. business cycle and the effectiveness of media advertising.
Book Synopsis Moments of Markov Switching Models by : Allan Timmermann
Download or read book Moments of Markov Switching Models written by Allan Timmermann and published by . This book was released on 1999 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
