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Download or read book Option-implied Equity Premium Predictions Via Entropic Tilting written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Konstantinos Metaxoglou
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Option-Implied Equity Premium Predictions Via Entropic Tilting written by Konstantinos Metaxoglou and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new method to improve density forecasts of the equity premium using information from options markets. We obtain predictive densities from stochastic volatility (SV) and GARCH models, which we then tilt using the second moment of the risk-neutral distribution implied by options prices while imposing a non-negativity constraint on the equity premium. By combining the backward-looking information contained in the GARCH and SV models with the forward-looking information from options prices, our procedure improves the performance of predictive densities. Using density forecasts of the U.S. equity premium from January 1990 to December 2014, we find that tilting leads to more accurate predictions using statistical and economic criteria.
Author : Fabian Hollstein
Publisher :
ISBN 13 :
Total Pages : 63 pages
Book Rating : 4.:/5 (13 download)
Download or read book Predicting the Equity Market with Option-Implied Variables written by Fabian Hollstein and published by . This book was released on 2019 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We comprehensively analyze the predictive power of several option-implied variables for monthly S&P 500 excess returns and realized variance. The correlation risk premium (CRP) and the variance risk premium (VRP) emerge as strong predictors of both excess returns and realized variance. This is true both in- and out-of-sample. Our results also reveal that statistical evidence of predictability does not necessarily lead to economic gains. However, a timing strategy based on the CRP leads to utility gains of more than 5.03% per annum. Forecast combinations provide stable forecasts for both excess returns and realized variance, and add economic value.
Author : Francisco Alonso Sánchez
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (255 download)
Download or read book Option-implied Preferencec Adjustments, Density Forecasts, and the Equity Risk Premium written by Francisco Alonso Sánchez and published by . This book was released on 2006 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author : Yakov Amihud
Publisher : Now Publishers Inc
ISBN 13 : 1933019123
Total Pages : 109 pages
Book Rating : 4.9/5 (33 download)
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author : Bertrand K. Hassani
Publisher : Springer
ISBN 13 : 3319250566
Total Pages : 171 pages
Book Rating : 4.3/5 (192 download)
Download or read book Scenario Analysis in Risk Management written by Bertrand K. Hassani and published by Springer. This book was released on 2016-10-26 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on identifying and explaining the key determinants of scenario analysis in the context of operational risk, stress testing and systemic risk, as well as management and planning. Each chapter presents alternative solutions to perform reliable scenario analysis. The author also provides technical notes and describes applications and key characteristics for each of the solutions. In addition, the book includes a section to help practitioners interpret the results and adjust them to real-life management activities. Methodologies, including those derived from consensus strategies, extreme value theory, Bayesian networks, Neural networks, Fault Trees, frequentist statistics and data mining are introduced in such a way as to make them understandable to readers without a quantitative background. Particular emphasis is given to the added value of the implementation of these methodologies.
Author : Kerry Back
Publisher : Oxford University Press, USA
ISBN 13 : 0195380614
Total Pages : 504 pages
Book Rating : 4.1/5 (953 download)
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press, USA. This book was released on 2010 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the classical results on single-period, discrete-time, and continuous-time models of portfolio choice and asset pricing. It also treats asymmetric information, production models, various proposed explanations for the equity premium puzzle, and topics important for behavioral finance.
Author : Harold Kent Baker
Publisher : Oxford University Press, USA
ISBN 13 : 0199331960
Total Pages : 709 pages
Book Rating : 4.1/5 (993 download)
Download or read book Investment Risk Management written by Harold Kent Baker and published by Oxford University Press, USA. This book was released on 2015 with total page 709 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Risk Management provides an overview of developments in risk management and a synthesis of research on the subject. The chapters examine ways to alter exposures through measuring and managing risk exposures and provide an understanding of the latest strategies and trends within risk management.
Author : Gary Koop
Publisher : Wiley-Interscience
ISBN 13 :
Total Pages : 382 pages
Book Rating : 4.:/5 (321 download)
Download or read book Bayesian Econometrics written by Gary Koop and published by Wiley-Interscience. This book was released on 2003 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers in many fields are increasingly finding the Bayesian approach to statistics to be an attractive one. This book introduces the reader to the use of Bayesian methods in the field of econometrics at the advanced undergraduate or graduate level. The book is self-contained and does not require that readers have previous training in econometrics. The focus is on models used by applied economists and the computational techniques necessary to implement Bayesian methods when doing empirical work. Topics covered in the book include the regression model (and variants applicable for use with panel data), time series models, models for qualitative or censored data, nonparametric methods and Bayesian model averaging. The book includes numerous empirical examples and the website associated with it contains data sets and computer programs to help the student develop the computational skills of modern Bayesian econometrics.
Author : Bettina De Souza Guilherme
Publisher : Springer Nature
ISBN 13 : 3030548953
Total Pages : 372 pages
Book Rating : 4.0/5 (35 download)
Download or read book Financial Crisis Management and Democracy written by Bettina De Souza Guilherme and published by Springer Nature. This book was released on 2020-12-09 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book discusses financial crisis management and policy in Europe and Latin America, with a special focus on equity and democracy. Based on a three-year research project by the Jean Monnet Network, this volume takes an interdisciplinary, comparative approach, analyzing both the role and impact of the EU and regional organizations in Latin America on crisis management as well as the consequences of crisis on the process of European integration and on Latin America’s regionalism. The book begins with a theoretical introduction, exploring the effects of the paradigm change on economic policies in Europe and in Latin America and analyzing key systemic aspects of the unsustainability of the present economic system explaining the global crises and their interconnections. The following chapters are divided into sections. The second section explores aspects of regional governance and how the economic and financial crises were managed on a macro level in Europe and Latin America. The third and fourth sections use case studies to drill down to the impact of the crises at the national and regional levels, including the emergence of political polarization and rise in populism in both areas. The last section presents proposals for reform, including the transition from finance capitalism to a sustainable real capitalism in both regions and at the inter-regional level of EU-LAC relations.The volume concludes with an epilogue on financial crises, regionalism, and domestic adjustment by Loukas Tsoukalis, President of the Hellenic Foundation for European and Foreign Policy (ELIAMEP). Written by an international network of academics, practitioners and policy advisors, this volume will be of interest to researchers and students interested in macroeconomics, comparative regionalism, democracy, and financial crisis management as well as politicians, policy advisors, and members of national and regional organizations in the EU and Latin America.
Author : Herman E. Daly
Publisher : Beacon Press
ISBN 13 : 0807047066
Total Pages : 265 pages
Book Rating : 4.8/5 (7 download)
Download or read book Beyond Growth written by Herman E. Daly and published by Beacon Press. This book was released on 2014-09-30 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Daly is turning economics inside out by putting the earth and its diminishing natural resources at the center of the field . . . a kind of reverse Copernican revolution in economics." --Utne Reader "Considered by most to be the dean of ecological economics, Herman E. Daly elegantly topples many shibboleths in Beyond Growth. Daly challenges the conventional notion that growth is always good, and he bucks environmentalist orthodoxy, arguing that the current focus on 'sustainable development' is misguided and that the phrase itself has become meaningless." --Mother Jones "In Beyond Growth, . . . [Daly] derides the concept of 'sustainable growth' as an oxymoron. . . . Calling Mr. Daly 'an unsung hero,' Robert Goodland, the World Bank's top environmental adviser, says, 'He has been a voice crying in the wilderness.'" --G. Pascal Zachary, The Wall Street Journal "A new book by that most far-seeing and heretical of economists, Herman Daly. For 25 years now, Daly has been thinking through a new economics that accounts for the wealth of nature, the value of community and the necessity for morality." --Donella H. Meadows, Los Angeles Times "For clarity of vision and ecological wisdom Herman Daly has no peer among contemporary economists. . . . Beyond Growth is essential reading." --David W. Orr, Oberlin College "There is no more basic ethical question than the one Herman Daly is asking." --Hal Kahn, The San Jose Mercury News "Daly's critiques of economic orthodoxy . . . deliver a powerful and much-needed jolt to conventional thinking." --Karen Pennar, Business Week Named one of a hundred "visionaries who could change your life" by the Utne Reader,Herman Daly is the recipient of many awards, including a Grawemeyer Award, the Heineken Prize for environmental science, and the "Alternative Nobel Prize," the Right Livelihood Award. He is professor at the University of Maryland's School of Public Affairs, and coauthor with John Cobb, Jr., of For the Common Good.
Author : Peter Tytler
Publisher : Springer Science & Business Media
ISBN 13 : 9401179182
Total Pages : 337 pages
Book Rating : 4.4/5 (11 download)
Download or read book Fish Energetics written by Peter Tytler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is almost thirty years since Professor G. G. Winberg established the basis for experimental studies in fish energetics with the publication of his monograph, Rate of Metabolism and Food Requirements of Fishes. His ultimate aim was to develop a scientific approach to fish culture and management, and the immense volume of literature generated in the ensuing years has been mainly in response to the demand for information from a rapidly expanding, world-wide aquaculture industry and to the shortcomings of contemporary practices in fisheries management. The purpose of this book is not to review this literature compre hensively, but, assuming an informed readership, to focus attention on topics in which new knowledge and theory are beginning to be applied in practice. Most emphasis has been placed on food; feeding; production (growth and reproduction) and energy budgeting, as these have most influence on the development of fish culture. Some chapters offer practical advice for the selection of methods, and warn of pitfalls in previous approaches. In others the influence of new theory on the interpretation of studies in fish energetics is discussed in the context of resource allocation and adaptation. We hope that the scope of material presented here will have sufficient interest and value to help significantly to fulfil Winberg's original objectives.
Author : Brian Eno
Publisher : Faber & Faber
ISBN 13 : 0571364624
Total Pages : 382 pages
Book Rating : 4.5/5 (713 download)
Download or read book A Year with Swollen Appendices written by Brian Eno and published by Faber & Faber. This book was released on 2020-11-17 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: The diary and essays of Brian Eno republished twenty-five years on with a new introduction by the artist in a beautiful hardback edition.'One of the seminal books about music . . . an invaluable insight into the mind and working practices of one of the industry's undeniable geniuses.'GUARDIANAt the end of 1994, Brian Eno resolved to keep a diary. His plans to go to the cinema, theatre and galleries fell quickly to the wayside. What he did do - and write - however, was astonishing: ruminations on his collaborative work with David Bowie, U2, James and Jah Wobble, interspersed with correspondence and essays dating back to 1978. These 'appendices' covered topics from the generative and ambient music Eno pioneered to what he believed the role of an artist and their art to be, alongside adroit commentary on quotidian tribulations and happenings around the world.This beautiful 25th-anniversary hardcover edition has been redesigned in the same size as the diary that eventually became this book. It features two ribbons, pink paper delineating the appendices (matching the original edition) and a two-tone paper-over-board cover, which pays homage to the original design.An intimate insight into one of the most influential creative artists of our time, A Year with Swollen Appendices is an essential classic.
Author : Stanley P. Cauvain
Publisher : Springer Science & Business Media
ISBN 13 : 1475766874
Total Pages : 371 pages
Book Rating : 4.4/5 (757 download)
Download or read book Technology of Breadmaking written by Stanley P. Cauvain and published by Springer Science & Business Media. This book was released on 2013-11-09 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Not another book on breadmaking! A forgiveable reaction given the length of time over which bread has been made and the number of texts which have been written about the subject. To study breadmaking is to realize that, like many other food processes, it is constantly changing as processing methodologies become increasingly more sophisticated, yet at the same time we realize that we are dealing with a food stuff, the forms of which are very traditional. We can, for example, look at ancient illustrations of breads in manuscripts and paintings and recognize prod ucts which we still make today. This contrast of ancient and modern embodied in a single processed foodstuff is part of what makes bread such a unique subject for study. We cannot, for example, say the same for a can of baked beans! Another aspect of the uniqueness of breadmaking lies in the requirement for a thorough understanding of the link between raw materials and processing meth ods in order to make an edible product. This is mainly true because of the special properties of wheat proteins, aspects of which are explored in most of the chapters of this book. Wheat is a product of the natural environment, and while breeding and farming practices can modify aspects of wheat quality, we millers and bakers still have to respond to the strong influences of the environment.
Author : Charles Eisenstein
Publisher : North Atlantic Books
ISBN 13 : 1583946365
Total Pages : 577 pages
Book Rating : 4.5/5 (839 download)
Download or read book The Ascent of Humanity written by Charles Eisenstein and published by North Atlantic Books. This book was released on 2013-02-05 with total page 577 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author of The More Beautiful World Our Hearts Know Is Possible explores the history and potential future of civilization, tracing the converging crises of our age to the illusion of the separate self Our disconnection from one another and the natural world has mislaid the foundations of science, religion, money, technology, economics, medicine, and education as we know them. It has fired our near-pathological pursuit of technological Utopias even as we push ourselves and our planet to the brink of collapse. Fortunately, an Age of Reunion is emerging out of the birth pangs of an earth in crisis. Our journey of separation hasn't been a terrible mistake but an evolutionary process and an adventure in self-discovery. Even in our darkest hour, Eisenstein sees the possibility of a more beautiful world—not through the extension of millennia-old methods of management and control but by fundamentally reimagining ourselves and our systems. We must shift away from our Babelian efforts to build ever-higher towers to heaven and instead turn out attention to creating a new kind of civilization—one designed for beauty rather than height.
Author : Nils Gilman
Publisher : A&C Black
ISBN 13 : 1441178104
Total Pages : 311 pages
Book Rating : 4.4/5 (411 download)
Download or read book Deviant Globalization written by Nils Gilman and published by A&C Black. This book was released on 2011-03-24 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: >
