Quasi Maximum Likelihood Estimation Of Stochastic Variance Models

Download Quasi Maximum Likelihood Estimation Of Stochastic Variance Models full books in PDF, epub, and Kindle. Read online Quasi Maximum Likelihood Estimation Of Stochastic Variance Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Estimation in Conditionally Heteroscedastic Time Series Models

Author : Daniel Straumann
Publisher : Springer Science & Business Media
ISBN 13 : 3540269789
Total Pages : 239 pages
Book Rating : 4.5/5 (42 download)

DOWNLOAD NOW!

Book Synopsis Estimation in Conditionally Heteroscedastic Time Series Models by : Daniel Straumann

Download or read book Estimation in Conditionally Heteroscedastic Time Series Models written by Daniel Straumann and published by Springer Science & Business Media. This book was released on 2006-01-27 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his seminal 1982 paper, Robert F. Engle described a time series model with a time-varying volatility. Engle showed that this model, which he called ARCH (autoregressive conditionally heteroscedastic), is well-suited for the description of economic and financial price. Nowadays ARCH has been replaced by more general and more sophisticated models, such as GARCH (generalized autoregressive heteroscedastic). This monograph concentrates on mathematical statistical problems associated with fitting conditionally heteroscedastic time series models to data. This includes the classical statistical issues of consistency and limiting distribution of estimators. Particular attention is addressed to (quasi) maximum likelihood estimation and misspecified models, along to phenomena due to heavy-tailed innovations. The used methods are based on techniques applied to the analysis of stochastic recurrence equations. Proofs and arguments are given wherever possible in full mathematical rigour. Moreover, the theory is illustrated by examples and simulation studies.

Parameter Estimation in Stochastic Volatility Models

Author : Jaya P. N. Bishwal
Publisher : Springer Nature
ISBN 13 : 3031038614
Total Pages : 634 pages
Book Rating : 4.0/5 (31 download)

DOWNLOAD NOW!

Book Synopsis Parameter Estimation in Stochastic Volatility Models by : Jaya P. N. Bishwal

Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.

ARCH Models and Financial Applications

Author : Christian Gourieroux
Publisher : Springer Science & Business Media
ISBN 13 : 1461218608
Total Pages : 234 pages
Book Rating : 4.4/5 (612 download)

DOWNLOAD NOW!

Book Synopsis ARCH Models and Financial Applications by : Christian Gourieroux

Download or read book ARCH Models and Financial Applications written by Christian Gourieroux and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.

Macroeconometrics

Author : Kevin D. Hoover
Publisher : Springer Science & Business Media
ISBN 13 : 940110669X
Total Pages : 575 pages
Book Rating : 4.4/5 (11 download)

DOWNLOAD NOW!

Book Synopsis Macroeconometrics by : Kevin D. Hoover

Download or read book Macroeconometrics written by Kevin D. Hoover and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.

GARCH Models

Author : Christian Francq
Publisher : John Wiley & Sons
ISBN 13 : 1119313562
Total Pages : 507 pages
Book Rating : 4.1/5 (193 download)

DOWNLOAD NOW!

Book Synopsis GARCH Models by : Christian Francq

Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2019-03-19 with total page 507 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.

Financial Econometrics

Author : Peijie Wang
Publisher : Routledge
ISBN 13 : 1134091451
Total Pages : 337 pages
Book Rating : 4.1/5 (34 download)

DOWNLOAD NOW!

Book Synopsis Financial Econometrics by : Peijie Wang

Download or read book Financial Econometrics written by Peijie Wang and published by Routledge. This book was released on 2008-09-19 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric techniques are becoming increasingly common in the world of finance and this second edition of an established text covers the following key themes:- unit roots, cointegration and other develop

Applied Quantitative Methods for Trading and Investment

Author : Christian L. Dunis
Publisher : John Wiley & Sons
ISBN 13 : 0470871342
Total Pages : 426 pages
Book Rating : 4.4/5 (78 download)

DOWNLOAD NOW!

Book Synopsis Applied Quantitative Methods for Trading and Investment by : Christian L. Dunis

Download or read book Applied Quantitative Methods for Trading and Investment written by Christian L. Dunis and published by John Wiley & Sons. This book was released on 2004-01-09 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio

Stochastic Volatility

Author : Neil Shephard
Publisher : OUP Oxford
ISBN 13 : 0191531421
Total Pages : 536 pages
Book Rating : 4.1/5 (915 download)

DOWNLOAD NOW!

Book Synopsis Stochastic Volatility by : Neil Shephard

Download or read book Stochastic Volatility written by Neil Shephard and published by OUP Oxford. This book was released on 2005-03-10 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling

Author : Ivan Jeliazkov
Publisher : Emerald Group Publishing
ISBN 13 : 1789732417
Total Pages : 331 pages
Book Rating : 4.7/5 (897 download)

DOWNLOAD NOW!

Book Synopsis Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling by : Ivan Jeliazkov

Download or read book Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling written by Ivan Jeliazkov and published by Emerald Group Publishing. This book was released on 2019-08-30 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: In honor of Dale J. Poirier, experienced editors Ivan Jeliazkov and Justin Tobias bring together a cast of expert contributors to explore the most up-to-date research on econometrics, including subjects such as panel data models, posterior simulation, and Bayesian models.

Methods and Applications of Statistics in Business, Finance, and Management Science

Author : Narayanaswamy Balakrishnan
Publisher : John Wiley & Sons
ISBN 13 : 0470405104
Total Pages : 735 pages
Book Rating : 4.4/5 (74 download)

DOWNLOAD NOW!

Book Synopsis Methods and Applications of Statistics in Business, Finance, and Management Science by : Narayanaswamy Balakrishnan

Download or read book Methods and Applications of Statistics in Business, Finance, and Management Science written by Narayanaswamy Balakrishnan and published by John Wiley & Sons. This book was released on 2010-07-13 with total page 735 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inspired by the Encyclopedia of Statistical Sciences, Second Edition, this volume presents the tools and techniques that are essential for carrying out best practices in the modern business world The collection and analysis of quantitative data drives some of the most important conclusions that are drawn in today's business world, such as the preferences of a customer base, the quality of manufactured products, the marketing of products, and the availability of financial resources. As a result, it is essential for individuals working in this environment to have the knowledge and skills to interpret and use statistical techniques in various scenarios. Addressing this need, Methods and Applications of Statistics in Business, Finance, and Management Science serves as a single, one-of-a-kind resource that guides readers through the use of common statistical practices by presenting real-world applications from the fields of business, economics, finance, operations research, and management science. Uniting established literature with the latest research, this volume features classic articles from the acclaimed Encyclopedia of Statistical Sciences, Second Edition along with brand-new contributions written by today's leading academics and practitioners. The result is a compilation that explores classic methodology and new topics, including: Analytical methods for risk management Statistical modeling for online auctions Ranking and selection in mutual funds Uses of Black-Scholes formula in finance Data mining in prediction markets From auditing and marketing to stock market price indices and banking, the presented literature sheds light on the use of quantitative methods in research relating to common financial applications. In addition, the book supplies insight on common uses of statistical techniques such as Bayesian methods, optimization, simulation, forecasting, mathematical modeling, financial time series, and data mining in modern research. Providing a blend of traditional methodology and the latest research, Methods and Applications of Statistics in Business, Finance, and Management Science is an excellent reference for researchers, managers, consultants, and students in the fields of business, management science, operations research, supply chain management, mathematical finance, and economics who must understand statistical literature and carry out quantitative practices to make smart business decisions in their everyday work.

Empirical Techniques in Finance

Author : Ramaprasad Bhar
Publisher : Springer Science & Business Media
ISBN 13 : 3540276424
Total Pages : 246 pages
Book Rating : 4.5/5 (42 download)

DOWNLOAD NOW!

Book Synopsis Empirical Techniques in Finance by : Ramaprasad Bhar

Download or read book Empirical Techniques in Finance written by Ramaprasad Bhar and published by Springer Science & Business Media. This book was released on 2005-12-28 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes traditional elements of financial econometrics but is not yet another volume in econometrics. Discusses statistical and probability techniques commonly used in quantitative finance. The reader will be able to explore more complex structures without getting inundated with the underlying mathematics.

Financial Mathematics, Volatility and Covariance Modelling

Author : Julien Chevallier
Publisher : Routledge
ISBN 13 : 1351669087
Total Pages : 372 pages
Book Rating : 4.3/5 (516 download)

DOWNLOAD NOW!

Book Synopsis Financial Mathematics, Volatility and Covariance Modelling by : Julien Chevallier

Download or read book Financial Mathematics, Volatility and Covariance Modelling written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Modelling and Prediction Honoring Seymour Geisser

Author : Jack C. Lee
Publisher : Springer
ISBN 13 : 1461224144
Total Pages : 458 pages
Book Rating : 4.4/5 (612 download)

DOWNLOAD NOW!

Book Synopsis Modelling and Prediction Honoring Seymour Geisser by : Jack C. Lee

Download or read book Modelling and Prediction Honoring Seymour Geisser written by Jack C. Lee and published by Springer. This book was released on 2013-12-20 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modelling and Prediction Honoring Seymour Geisser contains the refereed proceedings of the Conference on Forecasting, Prediction, and Modelling held at National Chiao Tung University, Taiwan in 1994. The papers discuss general methodological issues; prediction; design of experiments and classification; prior distributions and estimation; posterior odds, testing, and model selection; modelling and prediction in finance; and time series modelling and applications. Specific topics include very interesting and topical statistical issues related to DNA fingerprinting and spatial image reconstruction, foundational issues for applied statistics and testing hypotheses, forecasting tax revenues and bond prices, and assessing oxone depletion.

Essentials of Time Series for Financial Applications

Author : Massimo Guidolin
Publisher : Academic Press
ISBN 13 : 0128134100
Total Pages : 435 pages
Book Rating : 4.1/5 (281 download)

DOWNLOAD NOW!

Book Synopsis Essentials of Time Series for Financial Applications by : Massimo Guidolin

Download or read book Essentials of Time Series for Financial Applications written by Massimo Guidolin and published by Academic Press. This book was released on 2018-05-29 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essentials of Time Series for Financial Applications serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques. The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. - Provides practical, hands-on examples in time-series econometrics - Presents a more application-oriented, less technical book on financial econometrics - Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction - Features examples worked out in EViews (9 or higher)

Advances and Challenges in Parametric and Semi-parametric Analysis for Correlated Data

Author : Brajendra C. Sutradhar
Publisher : Springer
ISBN 13 : 331931260X
Total Pages : 267 pages
Book Rating : 4.3/5 (193 download)

DOWNLOAD NOW!

Book Synopsis Advances and Challenges in Parametric and Semi-parametric Analysis for Correlated Data by : Brajendra C. Sutradhar

Download or read book Advances and Challenges in Parametric and Semi-parametric Analysis for Correlated Data written by Brajendra C. Sutradhar and published by Springer. This book was released on 2016-06-15 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains eight selected papers that were presented in the International Symposium in Statistics (ISS) 2015 On Advances in Parametric and Semi-parametric Analysis of Multivariate, Time Series, Spatial-temporal, and Familial-longitudinal Data, held in St. John’s, Canada from July 6 to 8, 2015. The main objective of the ISS-2015 was the discussion on advances and challenges in parametric and semi-parametric analysis for correlated data in both continuous and discrete setups. Thus, as a reflection of the theme of the symposium, the eight papers of this proceedings volume are presented in four parts. Part I is comprised of papers examining Elliptical t Distribution Theory. In Part II, the papers cover spatial and temporal data analysis. Part III is focused on longitudinal multinomial models in parametric and semi-parametric setups. Finally Part IV concludes with a paper on the inferences for longitudinal data subject to a challenge of important covariates selection from a set of large number of covariates available for the individuals in the study.

Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model

Author : Oliver Old
Publisher : Springer Nature
ISBN 13 : 3658386185
Total Pages : 260 pages
Book Rating : 4.6/5 (583 download)

DOWNLOAD NOW!

Book Synopsis Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model by : Oliver Old

Download or read book Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model written by Oliver Old and published by Springer Nature. This book was released on 2022-07-27 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index.

Conditional Monte Carlo

Author : Michael C. Fu
Publisher : Springer Science & Business Media
ISBN 13 : 1461562937
Total Pages : 411 pages
Book Rating : 4.4/5 (615 download)

DOWNLOAD NOW!

Book Synopsis Conditional Monte Carlo by : Michael C. Fu

Download or read book Conditional Monte Carlo written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense literature and learn a new set of notation with each paper. To practitioners, this book provides a number of diverse application areas that makes the intuition accessible without having to fully commit to understanding all the theoretical niceties. In sum, the objectives of this monograph are two-fold: to bring together many of the interesting developments in perturbation analysis based on conditioning under a more unified framework, and to illustrate the diversity of applications to which these techniques can be applied. Conditional Monte Carlo: Gradient Estimation and Optimization Applications is suitable as a secondary text for graduate level courses on stochastic simulations, and as a reference for researchers and practitioners in industry.