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On The Devolatized Returns And Dynamic Conditional Correlations Garch Modeling In Selected European Indices
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Book Synopsis On the Devolatized Returns and Dynamic Conditional Correlations GARCH Modeling in Selected European Indices by : Stavros Stavroyiannis
Download or read book On the Devolatized Returns and Dynamic Conditional Correlations GARCH Modeling in Selected European Indices written by Stavros Stavroyiannis and published by . This book was released on 2013 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Typical issues of multivariate GARCH models are dimensionality, which is time consuming, both in terms of computations and their programming, and the availability of very few distributional schemes, since linear correlations are a natural dependence measure, only if the joint distribution of the variables is elliptical. We consider the new approach of devolatized returns, computed as returns standardized by realized volatilities, rather than by GARCH-type volatilities estimates. As a case study, we examine several European indices, and the methodology incorporates a multivariate T-student version of the Dynamic Conditional Correlations GARCH model. The time series under consideration and the results are subjected to several diagnostic tests, including the temporal volatilities and correlations of the asset returns, the validity of the T-DCC model using Value-at-Risk, the empirical cumulative distribution function of the probability integral transform variable, and forecasts of the conditional volatility and correlations. The concluding remarks are consistent, and in agreement with the new devolatized returns concept.
Book Synopsis BRICH Dynamic Conditional Correlations, Contagion, and Portfolio Diversification Under the Devolatized Returns Concept by : Stavros Stavroyiannis
Download or read book BRICH Dynamic Conditional Correlations, Contagion, and Portfolio Diversification Under the Devolatized Returns Concept written by Stavros Stavroyiannis and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial liberalization has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning and portfolio diversification require well specified correlations between the assets under consideration. In this paper we apply the DCC multivariate GARCH model under the innovative concept of devolatized returns. As a case study we consider the BRICH stock markets and we try to capture potential contagion effects among the US, UK, and Europe markets. After well specifying the correlations, the efficiency of the devolatized returns is examined via portfolio considerations. The concept of devolatized returns is sound and efficient providing favorable results under all diagnostic tests.
Book Synopsis Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the Us by : Denise R. Osborn
Download or read book Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the Us written by Denise R. Osborn and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study extends the dynamic conditional correlation model of Engle (2002, Journal of Business and Economic Statistics 20, 339-350) to allow periodic (day-specific) conditional correlations of shocks across international stock markets. The properties of the resulting periodic dynamic conditional correlation (PDCC) model are examined, focusing particularly on stationarity and the implications for unconditional shock correlations. When applied to the intraweek interactions between six developed European stock markets and the United States over 1993-2005, we find very strong evidence of periodic conditional correlations for the shocks. The highest correlations are generally observed on Thursdays, with these sometimes being twice those on Monday or Tuesday. In addition to these PDCC effects, strong day-of-the-week effects are found in mean returns for the French, Italian, and Spanish stock markets, while periodic effects are also present in volatility for all stock markets except Italy.
Book Synopsis Volatility Threshold Dynamic Conditional Correlations by : Maria Kasch
Download or read book Volatility Threshold Dynamic Conditional Correlations written by Maria Kasch and published by . This book was released on 2012 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a modeling framework for the study of changes in cross-market comovement conditional on volatility regimes. Methodologically, we extend the Dynamic Conditional Correlation multivariate GARCH model to allow the dynamics of correlations to depend on asset variances through a threshold structure. The empirical application of our model to a sample of international stock markets in 1994-2011 indicates that the periods of market turbulence are associated with an increase in cross-market comovement. The modeling framework proposed in the paper represents a useful tool for the study of market contagion.
Book Synopsis Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH by : Robert F. Engle
Download or read book Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH written by Robert F. Engle and published by . This book was released on 2001 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we develop the theoretical and empirical properties of a new class of multi-variate GARCH models capable of estimating large time-varying covariance matrices, Dynamic Conditional Correlation Multivariate GARCH. We show that the problem of multivariate conditional variance estimation can be simplified by estimating univariate GARCH models for each asset, and then, using transformed residuals resulting from the first stage, estimating a conditional correlation estimator. The standard errors for the first stage parameters remain consistent, and only the standard errors for the correlation parameters need be modified. We use the model to estimate the conditional covariance of up to 100 assets using S&P 500 Sector Indices and Dow Jones Industrial Average stocks, and conduct specification tests of the estimator using an industry standard benchmark for volatility models. This new estimator demonstrates very strong performance especially considering ease of implementation of the estimator
Book Synopsis A Test for Long Memory in the Conditional Correlation of Bivariate Returns to Stock and Bond Market Index Futures by : Kirt C. Butler
Download or read book A Test for Long Memory in the Conditional Correlation of Bivariate Returns to Stock and Bond Market Index Futures written by Kirt C. Butler and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long memory is found in the conditional volatilities of financial returns measured at daily or higher frequencies, as well as in residual cross-products in bivariate series. We test for long memory in conditional correlations by extending the fractionally integrated GARCH model to include previous conditional correlations and standardized cross-products in a bivariate system. We apply the model to stock-stock and stock-bond futures index returns using Engle's (2002) two-stage dynamic conditional correlation approach. We find that cross-products are indeed long memory processes, but that this feature arises from long memory in conditional volatilities and not from long memory in conditional correlation.
Book Synopsis Time Series Econometrics by : Bahram Pesaran
Download or read book Time Series Econometrics written by Bahram Pesaran and published by Oxford University Press, USA. This book was released on 2009 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive user manual to accompany Microfit 5.0. The manual discusses all of Microfit's features and functionality to assist users and to act as a reference. Microfit 5.0 is a fully updated, interactive econometric software package designed specifically for the econometric modelling of time series data. It is suitable for students, academics, and practitioners, as the package can easily be adapted for use at different levels oftechnical sophistication.
Book Synopsis Quantitative Risk Management by : Rudiger Frey
Download or read book Quantitative Risk Management written by Rudiger Frey and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk and Asset Allocation by : Attilio Meucci
Download or read book Risk and Asset Allocation written by Attilio Meucci and published by Springer Science & Business Media. This book was released on 2009-05-22 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site
Book Synopsis High-Dimensional Covariance Estimation by : Mohsen Pourahmadi
Download or read book High-Dimensional Covariance Estimation written by Mohsen Pourahmadi and published by John Wiley & Sons. This book was released on 2013-06-24 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Methods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provides accessible and comprehensive coverage of the classical and modern approaches for estimating covariance matrices as well as their applications to the rapidly developing areas lying at the intersection of statistics and machine learning. Recently, the classical sample covariance methodologies have been modified and improved upon to meet the needs of statisticians and researchers dealing with large correlated datasets. High-Dimensional Covariance Estimation focuses on the methodologies based on shrinkage, thresholding, and penalized likelihood with applications to Gaussian graphical models, prediction, and mean-variance portfolio management. The book relies heavily on regression-based ideas and interpretations to connect and unify many existing methods and algorithms for the task. High-Dimensional Covariance Estimation features chapters on: Data, Sparsity, and Regularization Regularizing the Eigenstructure Banding, Tapering, and Thresholding Covariance Matrices Sparse Gaussian Graphical Models Multivariate Regression The book is an ideal resource for researchers in statistics, mathematics, business and economics, computer sciences, and engineering, as well as a useful text or supplement for graduate-level courses in multivariate analysis, covariance estimation, statistical learning, and high-dimensional data analysis.
Book Synopsis Investing for Change by : Augustin Landier
Download or read book Investing for Change written by Augustin Landier and published by Oxford University Press, USA. This book was released on 2009 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text shows that citizens can change the globalized world in the direction of many common values by being a socially conscious investor. The authors argue that in fact globalization is helping create a shared concern for many issues around the planet.
Book Synopsis Quantitative Equity Portfolio Management by : Ludwig B Chincarini
Download or read book Quantitative Equity Portfolio Management written by Ludwig B Chincarini and published by McGraw Hill Professional. This book was released on 2010-08-18 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.
Book Synopsis Evolutions in Sustainable Investing by : Cary Krosinsky
Download or read book Evolutions in Sustainable Investing written by Cary Krosinsky and published by John Wiley & Sons. This book was released on 2011-10-14 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sustainable Investing is fast becoming an essential method of generating long-term returns, moving beyond the negative approaches to socially responsible investing that have dominated the field. This book, our second on the subject, provides over 15 case studies of leading global investors and companies demonstrating how they successfully apply sustainability aspects to their core strategies. Learn from prominent thought leaders Dan Esty and Paul Hawken among others who have contributed key chapters. Our chapter on performance shows clearly how these strategies have been working once negative approaches are parsed out by those examining fund returns. This book also examines in great depth what data exists, and what's on the horizon, to best measure & capture sustainability successfully. Regional perspectives, including 3 chapters on Asia, and focuses on Canada, Australia, Africa & India are also included, as is a look across asset classes. Sustainable Investing, when performed with a positive perspective, has been outperforming the mainstream, unlike negative approaches designed to match benchmark returns. From eco-efficiency to sustainability-driven innovation and beyond, investors of all shapes & sizes need to know how best to position themselves for the radical market shifts underway.
Book Synopsis Practical Portfolio Performance Measurement and Attribution by : Carl R. Bacon
Download or read book Practical Portfolio Performance Measurement and Attribution written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.
Book Synopsis Renewable Energy by : Martin Kaltschmitt
Download or read book Renewable Energy written by Martin Kaltschmitt and published by Springer Science & Business Media. This book was released on 2007-06-03 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: The utilisation of renewable energies is not at all new; in the history of mankind renewable energies have for a long time been the primary possibility of generating energy. This only changed with industrial revolution when lignite and hard coal became increasingly more important. Later on, also crude oil gained importance. Offering the advantages of easy transportation and processing also as a raw material, crude oil has become one of the prime energy carriers applied today. Moreover, natural gas used for space heating and power provision as well as a transportation fuel has become increasingly important, as it is abundantly available and only requires low investments in terms of energy conversion facilities. As fossil energy carriers were increasingly used for energy generation, at least by the industrialised countries, the application of renewable energies decreased in absolute and relative terms; besides a few exceptions, renewable energies are of secondary importance with regard to overall energy generation.
Download or read book Bessie Smith written by and published by Schirmer Reference. This book was released on 1975 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to Risk Parity and Budgeting by : Thierry Roncalli
Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
