Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Three Essays On Volatility Measurement And Modeling With Price Limits
Download Three Essays On Volatility Measurement And Modeling With Price Limits full books in PDF, epub, and Kindle. Read online Three Essays On Volatility Measurement And Modeling With Price Limits ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Three Essays on Volatility Measurement and Modeling with Price Limits by : Rui Gao
Download or read book Three Essays on Volatility Measurement and Modeling with Price Limits written by Rui Gao and published by . This book was released on 2014 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies volatility measurement and modeling issues when asset prices are subject to price limits based on Bayesian approaches. Two types of estimators are developed to consistently estimate integrated volatility in the presence of price limits. One is a realized volatility type estimator, but using both realized asset prices and simulated asset prices. The other is a discrete sample analogue of integrated volatility using posterior samples of the latent volatility states. These two types of estimators are first constructed based on the simple log-stochastic volatility model in Chapter 2. The simple log-stochastic volatility framework is extended in Chapter 3 to incorporate correlated innovations and further extended in Chapter 4 to accommodate jumps and fat-tailed innovations. For each framework, a MCMC algorithm is designed to simulate the unobserved asset prices, model parameters and latent states. Performances of both type estimators are also examined using simulations under each framework. Applications to Chinese stock markets are also provided.
Book Synopsis Three Essays on Volatility by : Peilin Hsieh
Download or read book Three Essays on Volatility written by Peilin Hsieh and published by . This book was released on 2013 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation focuses on economic studying of volatility issues. Three essays are contained in my dissertation. Essay 1 extends a microstructure model to explain the change of volatility and thus links traders' belief to the volatility change. Our model shows that when market is more uncertain about the value of the stock, the higher the (return) volatility. Essay 2 turns to explore more economic factors that could cause volatility regime switch. We find that US stock return processes, including drift, diffusion, and jump, differ along with US political cycle. Our results imply that the presidency in different parties has distinct policy making processes and thus influence the way information flows into the market, altering the return processes. In the final essay, we document and explain a volatility Bid-Ask spread pattern that increases as time to maturity decreases. Our research develops a model that explains the volatility spread pattern. We show that, as time passes, the required hedging uncertainty premium charged by the liquidity providers decays more slowly while the premium contained in the quoted options price decays at an increasingly higher rate which is determined by the option pricing model. Therefore, liquidity providers need to increase asking and decrease bidding volatility to maintain the profit necessary to compensate slowly decaying hedging uncertainty premium. Our results strongly suggest that studies on volatility spread should detrend the data to make the estimation models correct as well as the series stationary. Without adjusting the trend and autocorrelation problems, statistical results are inaccurate and misleading. More importantly, based on our theoretical model, we also find that: (a) the implied volatility spread does not increase in proportion to the increase of implied volatility, and (b) the increase of volatility uncertainty is not a sufficient condition for an increase in the percentage spread. Finally, to augment the validity of our claims, we provide rigorous econometric tests which support our propositions.
Book Synopsis Three Essays on Volatility Forecasting by : Xin Cheng
Download or read book Three Essays on Volatility Forecasting written by Xin Cheng and published by . This book was released on 2010 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Realized Volatility Models for High-Frequency Data by : Ji Shen
Download or read book Three Essays on Realized Volatility Models for High-Frequency Data written by Ji Shen and published by . This book was released on 2017 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Volatility by : Stefano Mazzotta
Download or read book Three Essays on Volatility written by Stefano Mazzotta and published by . This book was released on 2005 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation is in the form of one survey paper and three essays on the topic of volatility. The unifying feature that permeates the entire thesis is the focus on the measurement and use of conditional second moment of equities and currencies as a measure of risk for asset pricing and policy purposes in the context of international markets." --
Book Synopsis Stock Market Volatility and Price Discovery by : Jose Gonzalo Rangel
Download or read book Stock Market Volatility and Price Discovery written by Jose Gonzalo Rangel and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Continuous-time Stochastic Volatility Models by : Lu Feng
Download or read book Three Essays on Continuous-time Stochastic Volatility Models written by Lu Feng and published by . This book was released on 1996 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility, Duration, and Value-at-risk by : Pujin Liu
Download or read book Volatility, Duration, and Value-at-risk written by Pujin Liu and published by . This book was released on 2012 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis consists of three essays dealing with the modeling of volatility in financial markets, trade durations, and Value-at-Risk (VaR). The first essay models nonlinearities in the return series to estimate time-varying volatility by incorporating both regime changes and jumps. Two types of regime-switching GARCH-jump models with autoregressive jump intensity are presented. The first model follows the traditional Markov regime-switching model proposed in Hamilton (1989). As the unknown regimes in the Markov model lead to difficulty in forecasting, a threshold GARCH-jump model, in which regimes are known after observing the threshold variable in the previous period, is also proposed. The second essay models the intraday durations between two adjacent trade transactions by considering the impact of unaccounted struc- tural changes on parameter estimates. Monte Carlo simulations show that the observed high persistence in trade durations can be spurious and caused by unaccounted structural changes in the data generating process. The third essay investigates the use of realized moments in VaR forecasting, which is an important issue in risk management. Many VaR models rely only on the mean and volatility and ignore higher moments of returns, which leads to un- derestimation of VaR due to the unaccounted fat-tail property of the return series. Applying the Cornish-Fisher expansion to incorporate realized higher moments constructed from high frequency data, the proposed realized moment models outperform the realized volatility model and the traditional RiskMet- rics model, especially during the financial crisis period (2008-09).
Book Synopsis Essays on Stock Prices and Equity Premium by : Seunghan Lee
Download or read book Essays on Stock Prices and Equity Premium written by Seunghan Lee and published by . This book was released on 2017 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the role of cash flow in explaining stock price variations and the determination of equity premium after correcting for the measurement error of cash flow growth. In Chapter 1, we incorporate price-total payout (dividends plus repurchases) ratio into the models of Binsbergen and Koijen (2010) and Campbell and Ammer (1993) to reassess the role of cash flow in stock price movement. We find that the existing results of a high persistence in expected returns and a strong dependence of stock price variation on discount rates are partly attributable to the use of price-dividend ratio with measurement error as a predictor of stock returns. The incorporation of price-total payout ratio enables the models i) to improve an in-sample goodness of fit for return and cash flow growth, ii) to produce a lower persistence of expected returns, which leads to a smaller shock to stock prices from the discount rate channel, iii) to show a higher contribution of cash flow channel to stock price movement in terms of variations in price-cash flow ratio and unexpected return. These results apply to medium and large cap portfolios as well as to aggregate market index. In Chapter 2, we explore the effects on stock market variation of other factors than stock repurchases that could account for the non-stationarity of price-dividend ratio by incorporating regime shifts in the mean of price-total payout ratio into the models of Binsbergen and Koijen (2010) and Campbell and Ammer (1993). Compared to the results of Chapter 1, we achieve i) an improvement in in-sample goodness of fit for return and cash flow growth, ii) a lower persistence and higher volatility of expected returns, iii) stronger role of cash flow channel in stock market variation, all of which show that not only stock repurchases but also other structural factors such as persistent decline in consumption volatility affecting the relationship between stock prices and cash flows should be taken into account when we attempt to investigate the sources of stock price variations. In Chapter 3, we incorporate price-total payout ratio and endogenously generated consumption volatility with regime shifts into the dynamic asset pricing model of Bansal, Kiku, Shaliastovich, and Yaron (2014) (hereafter, "BKSY model"), which stresses the role of a sizable positive risk premium from the macroeconomic volatility channel in explaining the equity premium by introducing the volatility risk into traditional consumption-based asset pricing model. Our extension of the BKSY model provides a different identification of the consumption volatility risk by including the effects of the economic agent's revision of expectation on the volatility states on each of three channels to determine the equity premium. From annual samples of 1930 to 2015, we find that our model shows a much smaller contribution of the consumption volatility risk to the total equity premium, most of which is now explained by the cash flow risk. This finding applies to cross-sectional portfolio returns as well as to aggregate market index return. Our model also indicates that the consumption volatility risk is not large enough to reverse a negative correlation between equity return and human capital return.
Book Synopsis Essays on asset liabilty modelling by : David Frederik Schrager
Download or read book Essays on asset liabilty modelling written by David Frederik Schrager and published by Rozenberg Publishers. This book was released on 2007 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Volatility and Correlation by : Riccardo Rebonato
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
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2003 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.
Book Synopsis Three Essays on Financial Markets and Institutions by : Marcos Rietti Souto
Download or read book Three Essays on Financial Markets and Institutions written by Marcos Rietti Souto and published by . This book was released on 2005 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Honor of M. Hashem Pesaran by : Alexander Chudik
Download or read book Essays in Honor of M. Hashem Pesaran written by Alexander Chudik and published by Emerald Group Publishing. This book was released on 2022-01-18 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.
Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Book Synopsis Portfolio Construction, Measurement, and Efficiency by : John B. Guerard, Jr.
Download or read book Portfolio Construction, Measurement, and Efficiency written by John B. Guerard, Jr. and published by Springer. This book was released on 2016-09-23 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.
