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Author : Iris Wing Han Yip
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.:/5 (225 download)
Download or read book Multivariate GARCH Modeling with Applications to Financial Markets written by Iris Wing Han Yip and published by . This book was released on 2007 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edy Zahnd
Publisher :
ISBN 13 : 9783898254427
Total Pages : 125 pages
Book Rating : 4.2/5 (544 download)
Download or read book The Application of Multivariate GARCH Models to Turbulent Financial Markets written by Edy Zahnd and published by . This book was released on 2002 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Olivier Ledoit
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Flexible Multivariate GARCH Modeling with an Application to International Stock Markets written by Olivier Ledoit and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this paper is to estimate time-varying covariance matrices. Since the covariance matrix of financial returns is known to change through time and is an essential ingredient in risk measurement, portfolio selection, and tests of asset pricing models, this is a very important problem in practice. Our model of choice is the Diagonal-Vech version of the Multivariate GARCH(1,1) model. The problem is that the estimation of the general Diagonal-Vech model model is numerically infeasible in dimensions higher than 5. The common approach is to estimate more restrictive models which are tractable but may not conform to the data. Our contribution is to propose an alternative estimation method that is numerically feasible, produces positive semi-definite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the new estimator to a number of existing ones.
Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Author : Tekle Bobo
Publisher : GRIN Verlag
ISBN 13 : 3346288900
Total Pages : 38 pages
Book Rating : 4.3/5 (462 download)
Download or read book Multivariate GARCH models. The time varying variance-covariance for the exchange rate written by Tekle Bobo and published by GRIN Verlag. This book was released on 2020-11-03 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Literature Review from the year 2020 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, , language: English, abstract: This paper is a review to the GARCH family’s models. Since the seminal paper of Engle from 1982, much advancement has been made in understanding GARCH models and their multivariate extensions. In MGARCH models parsimonious models should be used to overcome the difficulty of estimating the VEC model ensuring MGARCH modeling is to provide a realistic and parsimonious specification of the variance matrix ensuring its positivity. BEKK models are flexible but require too many parameters for multiple time series of more than four elements. BEKK models are much more parsimonious but very restrictive for the cross-dynamics. They are not suitable if volatility transmission is the object of interest, but they usually do a good job in representing the dynamics of variances and covariance. DCC models allow for different persistence between variances and correlations, but impose common persistence in the latter (although this may be relaxed) Student’s t distribution assumption is more proper under negative skewness and high kurtosis of return series. Understanding and predicting the temporal dependence in the second-order moments of asset returns is important for many issues in financial econometrics. It is now widely accepted that financial volatilities move together over time across assets and markets. Recognizing this feature through a multivariate modeling framework leads to more relevant empirical models than working with separate univariate models. From a financial point of view, it opens the door to better decision tools in various areas, such as asset pricing, portfolio selection, option pricing, and hedging and risk management. Indeed, unlike at the beginning of the 1990s, several institutions have now developed the necessary skills to use the econometric theory in a financial perspective.
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119313481
Total Pages : 714 pages
Book Rating : 4.1/5 (193 download)
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-03-21 with total page 714 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.
Author : Martin Grziska
Publisher : Pro BUSINESS
ISBN 13 : 3863868439
Total Pages : 191 pages
Book Rating : 4.8/5 (638 download)
Download or read book Multivariate GARCH and Dynamic Copula Models for Financial Time Series written by Martin Grziska and published by Pro BUSINESS. This book was released on 2015-02-05 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents several non-parametric and parametric models for estimating dynamic dependence between financial time series and evaluates their ability to precisely estimate risk measures. Furthermore, the different dependence models are used to analyze the integration of emerging markets into the world economy. In order to analyze numerous dependence structures and to discover possible asymmetries, two distinct model classes are investigated: the multivariate GARCH and Copula models. On the theoretical side a new dynamic dependence structure for multivariate Archimedean Copulas is introduced which lifts the prevailing restriction to two dimensions and extends the multivariate dynamic Archimedean Copulas to more than two dimensions. On this basis a new mixture copula is presented using the newly invented multivariate dynamic dependence structure for the Archimedean Copulas and mixing it with multivariate elliptical copulas. Simultaneously a new process for modeling the time-varying weights of the mixture copula is introduced: this specification makes it possible to estimate various dependence structures within a single model. The empirical analysis of different portfolios shows that all equity portfolios and the bond portfolios of the emerging markets exhibit negative asymmetries, i.e. increasing dependence during market downturns. However, the portfolio consisting of the developed market bonds does not show any negative asymmetries. Overall, the analysis of the risk measures reveals that parametric models display portfolio risk more precisely than non-parametric models. However, no single parametric model dominates all other models for all portfolios and risk measures. The investigation of dependence between equity and bond portfolios of developed countries, proprietary, and secondary emerging markets reveals that secondary emerging markets are less integrated into the world economy than proprietary. Thus, secondary emerging markets are moresuitable to diversify a portfolio consisting of developed equity or bond indices than proprietary.
Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)
Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author : Olivier Ledoit
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Flexible multivariate GARCH modeling with an application to international stock markets[ written by Olivier Ledoit and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119957397
Total Pages : 469 pages
Book Rating : 4.1/5 (199 download)
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Author : Tze Leung Lai
Publisher : Springer Science & Business Media
ISBN 13 : 0387778268
Total Pages : 363 pages
Book Rating : 4.3/5 (877 download)
Download or read book Statistical Models and Methods for Financial Markets written by Tze Leung Lai and published by Springer Science & Business Media. This book was released on 2008-07-25 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.
Author : Ngai Hang Chan
Publisher : John Wiley & Sons
ISBN 13 : 0471461644
Total Pages : 225 pages
Book Rating : 4.4/5 (714 download)
Download or read book Time Series written by Ngai Hang Chan and published by John Wiley & Sons. This book was released on 2004-04-05 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book. * Full set of exercises is displayed at the end of each chapter. * First seven chapters cover standard topics in time series at a high-intensity level. * Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail. * Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.
Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 0470091401
Total Pages : 864 pages
Book Rating : 4.4/5 (7 download)
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author : Markus Haas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (894 download)
Download or read book Multivariate Regime Switching GARCH with an Application to International Stock Markets written by Markus Haas and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jürgen Franke
Publisher : Springer
ISBN 13 : 3030137511
Total Pages : 585 pages
Book Rating : 4.0/5 (31 download)
Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer. This book was released on 2019-06-11 with total page 585 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its fifth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods for evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to specific problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. All numerical calculations are transparent and reproducible using quantlets. For this new edition the book has been updated and extensively revised and now includes several new aspects such as neural networks, deep learning, and crypto-currencies. Both R and Matlab code, together with the data, can be downloaded from the book’s product page and the Quantlet platform. 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 allow readers to reproduce the tables, pictures and calculations inside this Springer book. “This book provides an excellent introduction to the tools from probability and statistics necessary to analyze financial data. Clearly written and accessible, it will be very useful to students and practitioners alike.” Yacine Ait-Sahalia, Otto Hack 1903 Professor of Finance and Economics, Princeton University
Author : Weibin Jiang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Asymptotic Theory of General Multivariate GARCH Models written by Weibin Jiang and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time series, which makes the application of multivariate models a necessity. Unfortunately the asymptotic theory of the multivariate GARCH models is far from coherent since many algorithms on the univariate case do not extend to multivariate models naturally. This thesis studies the asymptotic theory of the QMLE under mild conditions. We give some counterexamples for the parameter identifiability result in Jeantheau [1998] and provide a better necessary and sufficient condition. We prove the ergodicity of the conditional variance process on an application of theorems by Meyn and Tweedie [2009]. Under those conditions, the consistency and asymptotic normality of the QMLE can be proved by the standard compactness argument and Taylor expansion of the score function. We also give numeric example on verifying the assumptions and the scaling issue when estimating GARCH parameters in S+ FinMetrics.
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
