Theoretical and Empirical Analysis of Common Factors in a Term Structure Model

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Publisher : Cambridge Scholars Publishing
ISBN 13 : 1443815829
Total Pages : 89 pages
Book Rating : 4.4/5 (438 download)

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Book Synopsis Theoretical and Empirical Analysis of Common Factors in a Term Structure Model by : Ting Ting Huang

Download or read book Theoretical and Empirical Analysis of Common Factors in a Term Structure Model written by Ting Ting Huang and published by Cambridge Scholars Publishing. This book was released on 2009-10-02 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialists to understand, and the mathematical tools required for applications can be intimidating. Although many of the copula models used in finance are theoretical, the nature of financial data suggests the empirical copula is more appropriate for forecasting and accurately describing returns, volatility and interdependence.

A Tale of Two Yield Curves

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Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis A Tale of Two Yield Curves by : Alexei V. Egorov

Download or read book A Tale of Two Yield Curves written by Alexei V. Egorov and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the joint term structure of interest rates in the United States and the European Union, the two largest economies in the world, is extremely important in international finance. In this paper, we provide both theoretical and empirical analysis of multi-factor joint affine term structure models for dollar and euro interest rates. In particular, we provide a systematic classification of multi-factor joint affine term structure models similar to that of Dai and Singleton (2000). A principal component analysis of daily dollar and euro interest rates reveals four factors in the data. We estimate four-factor joint affine term structure models using the approximate maximum likelihood method of Ait-Sahalia (2002, 2007) and compare the in-sample and out-of-sample performances of these models using some of the latest nonparametric methods. We find that a new four-factor model with two common and two local factors captures the joint term structure dynamics in the U.S. and the E.U. reasonably well.

Commodities

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Publisher : CRC Press
ISBN 13 : 1498712339
Total Pages : 725 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi

The New Palgrave Dictionary of Economics

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Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)

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Book Synopsis The New Palgrave Dictionary of Economics by :

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Encyclopedia of Finance

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Publisher : Springer Nature
ISBN 13 : 3030912310
Total Pages : 2746 pages
Book Rating : 4.0/5 (39 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Nature. This book was released on 2022-09-12 with total page 2746 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.

Investments: Portfolio theory and asset pricing

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Publisher : MIT Press
ISBN 13 : 9780262050593
Total Pages : 452 pages
Book Rating : 4.0/5 (55 download)

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Book Synopsis Investments: Portfolio theory and asset pricing by : Edwin J. Elton

Download or read book Investments: Portfolio theory and asset pricing written by Edwin J. Elton and published by MIT Press. This book was released on 1999 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz. Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.

Long-run Growth and Short-run Stabilization

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Publisher : Edward Elgar Publishing
ISBN 13 : 9781781950500
Total Pages : 434 pages
Book Rating : 4.9/5 (55 download)

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Book Synopsis Long-run Growth and Short-run Stabilization by : The late Lawrence R. Klein

Download or read book Long-run Growth and Short-run Stabilization written by The late Lawrence R. Klein and published by Edward Elgar Publishing. This book was released on 2006-02-24 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is much confusion in the economics literature on wage determination and the employment-inflation trade-off. Few model builders pay as much careful attention to the definition and meaning of long-run concepts as did Albert Ando. Expanding on years of painstaking work by Ando, the contributors elaborate on the main issues of economic analysis and policies that concerned him.

Statistical Methods for Validation of Assessment Scale Data in Counseling and Related Fields

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Publisher : John Wiley & Sons
ISBN 13 : 1119019281
Total Pages : 352 pages
Book Rating : 4.1/5 (19 download)

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Book Synopsis Statistical Methods for Validation of Assessment Scale Data in Counseling and Related Fields by : Dimiter M. Dimitrov

Download or read book Statistical Methods for Validation of Assessment Scale Data in Counseling and Related Fields written by Dimiter M. Dimitrov and published by John Wiley & Sons. This book was released on 2014-11-03 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Dr. Dimitrov has constructed a masterpiece—a classic resource that should adorn the shelf of every counseling researcher and graduate student serious about the construction and validation of high quality research instruments. —Bradley T. Erford, PhD Loyola University Maryland Past President, American Counseling Association “This book offers a comprehensive treatment of the statistical models and methods needed to properly examine the psychometric properties of assessment scale data. It is certain to become a definitive reference for both novice and experienced researchers alike.” —George A. Marcoulides, PhD University of California, Riverside This instructive book presents statistical methods and procedures for the validation of assessment scale data used in counseling, psychology, education, and related fields. In Part I, measurement scales, reliability, and the unified construct-based model of validity are discussed, along with key steps in instrument development. Part II describes factor analyses in construct validation, including exploratory factor analysis, confirmatory factor analysis, and models of multitrait-multimethod data analysis. Traditional and Rasch-based analyses of binary and rating scales are examined in Part III. Dr. Dimitrov offers students, researchers, and clinicians step-by-step guidance on contemporary methodological principles, statistical methods, and psychometric procedures that are useful in the development or validation of assessment scale data. Numerous examples, tables, and figures provided throughout the text illustrate the underlying principles of measurement in a clear and concise manner for practical application. *Requests for digital versions from ACA can be found on www.wiley.com. *To purchase print copies, please visit the ACA website here. *Reproduction requests for material from books published by ACA should be directed to [email protected]

Single-factor and Multi-factor Affine-yield Term Structure Models

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Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (488 download)

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Book Synopsis Single-factor and Multi-factor Affine-yield Term Structure Models by : Palle Dumstrei

Download or read book Single-factor and Multi-factor Affine-yield Term Structure Models written by Palle Dumstrei and published by . This book was released on 1999 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Econometric Analysis of Model Selection and Model Testing

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Publisher : Routledge
ISBN 13 : 135194195X
Total Pages : 286 pages
Book Rating : 4.3/5 (519 download)

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Book Synopsis Econometric Analysis of Model Selection and Model Testing by : M. Ishaq Bhatti

Download or read book Econometric Analysis of Model Selection and Model Testing written by M. Ishaq Bhatti and published by Routledge. This book was released on 2017-03-02 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.

International Encyclopedia of Education

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Publisher : Elsevier
ISBN 13 : 0080448941
Total Pages : 6964 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis International Encyclopedia of Education by :

Download or read book International Encyclopedia of Education written by and published by Elsevier. This book was released on 2009-04-17 with total page 6964 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of education has experienced extraordinary technological, societal, and institutional change in recent years, making it one of the most fascinating yet complex fields of study in social science. Unequalled in its combination of authoritative scholarship and comprehensive coverage, International Encyclopedia of Education, Third Edition succeeds two highly successful previous editions (1985, 1994) in aiming to encapsulate research in this vibrant field for the twenty-first century reader. Under development for five years, this work encompasses over 1,000 articles across 24 individual areas of coverage, and is expected to become the dominant resource in the field. Education is a multidisciplinary and international field drawing on a wide range of social sciences and humanities disciplines, and this new edition comprehensively matches this diversity. The diverse background and multidisciplinary subject coverage of the Editorial Board ensure a balanced and objective academic framework, with 1,500 contributors representing over 100 countries, capturing a complete portrait of this evolving field. A totally new work, revamped with a wholly new editorial board, structure and brand-new list of meta-sections and articles Developed by an international panel of editors and authors drawn from senior academia Web-enhanced with supplementary multimedia audio and video files, hotlinked to relevant references and sources for further study Incorporates ca. 1,350 articles, with timely coverage of such topics as technology and learning, demography and social change, globalization, and adult learning, to name a few Offers two content delivery options - print and online - the latter of which provides anytime, anywhere access for multiple users and superior search functionality via ScienceDirect, as well as multimedia content, including audio and video files

Statistics of Financial Markets

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Publisher : Springer
ISBN 13 : 3642545394
Total Pages : 558 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Statistics of Financial Markets by : Jürgen Franke

Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer. This book was released on 2015-02-02 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its fourth 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 of 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 given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de

International Finance and Monetary Policy

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Publisher : Nova Publishers
ISBN 13 : 9781600211034
Total Pages : 286 pages
Book Rating : 4.2/5 (11 download)

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Book Synopsis International Finance and Monetary Policy by : Gleb P. Severov

Download or read book International Finance and Monetary Policy written by Gleb P. Severov and published by Nova Publishers. This book was released on 2006 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: International finance is the branch of economics that studies the dynamics of exchange rates, foreign investment, and how these affect international trade. In a globalising world, the policies of various central banks and similar institutions impact large and small players alike. This book presents new and important research on issues of interest in international finance and monetary policy.

Asset Pricing

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Publisher : Springer Science & Business Media
ISBN 13 : 3540246975
Total Pages : 247 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Asset Pricing by : B.Philipp Kellerhals

Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.

Decision Making: Recent Developments and Worldwide Applications

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Publisher : Springer Science & Business Media
ISBN 13 : 1475749198
Total Pages : 484 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Decision Making: Recent Developments and Worldwide Applications by : Stelios H. Zanakis

Download or read book Decision Making: Recent Developments and Worldwide Applications written by Stelios H. Zanakis and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter describes a study conducted at the Swinburne University of Technology in Australia, in their School of Business. The study was to explore the applicability of a judgment-analytic decision support system to the assessment of the likelihood of an applicant being selected for admission to the School's Graduate Certificate in Business Administration (GCBA) program. The likelihood of a program administrator selecting a particular applicant is directly linked to the assessment of the likelihood of that applicant's success in the GCBA program. The purpose of this study, in effect, was to analyze the administrative judgment process in assessment of an applicant's likelihood of success in the program. THE PROCESS OF HUMAN JUDGMENT Human judgment is a process through which an individual uses social infonnation to make decisions. The social infonnation is obtained from an individual's environment and is interpreted through the individual's cognitive image of the environment. The. cognitive image provides a representation of the environment based on past experiences and training, and essentially predisposes the person to respond to social infonnation in predictable ways. An individual's policies or beliefs about the environment represent these patterns. Human judgments are based then upon one's interpretation of available infonnation. They are probability statements about one's environment and how one reacts to it. This condition leads to the human judgment process being inherently limited. It is fundamentally a covert process. It is seldom possible for an individual to accurately describe his or her judgment process accurately.

Handbook of Structural Equation Modeling

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Publisher : Guilford Publications
ISBN 13 : 1462544649
Total Pages : 801 pages
Book Rating : 4.4/5 (625 download)

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Book Synopsis Handbook of Structural Equation Modeling by : Rick H. Hoyle

Download or read book Handbook of Structural Equation Modeling written by Rick H. Hoyle and published by Guilford Publications. This book was released on 2023-02-17 with total page 801 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This accessible volume presents both the mechanics of structural equation modeling (SEM) and specific SEM strategies and applications. The editor, along with an international group of contributors, and editorial advisory board are leading methodologists who have organized the book to move from simpler material to more statistically complex modeling approaches. Sections cover the foundations of SEM; statistical underpinnings, from assumptions to model modifications; steps in implementation, from data preparation through writing the SEM report; and basic and advanced applications, including new and emerging topics in SEM. Each chapter provides conceptually oriented descriptions, fully explicated analyses, and engaging examples that reveal modeling possibilities for use with readers' data. Many of the chapters also include access to data and syntax files at the companion website, allowing readers to try their hands at reproducing the authors' results"--

Journal of Banking & Finance

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Publisher :
ISBN 13 :
Total Pages : 1262 pages
Book Rating : 4.:/5 (45 download)

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Book Synopsis Journal of Banking & Finance by :

Download or read book Journal of Banking & Finance written by and published by . This book was released on 2001 with total page 1262 pages. Available in PDF, EPUB and Kindle. Book excerpt: