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Time Variation In The Tail Behaviour Of Bund Futures Returns
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Book Synopsis Time Variation in the Tail Behaviour of Bund Futures Returns by : Thomas Werner
Download or read book Time Variation in the Tail Behaviour of Bund Futures Returns written by Thomas Werner and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time Variation in the Tail Behaviour of Bund Futures Returns by : Thomas Werner
Download or read book Time Variation in the Tail Behaviour of Bund Futures Returns written by Thomas Werner and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on the tail behaviour of asset prices focuses mainly on theDie Literatur über Extreme der Renditeverteilung hat sich bisher überwiegend.
Book Synopsis Time Variation in the Tail Behaviour of Bunds Futures Returns by : Thomas Werner
Download or read book Time Variation in the Tail Behaviour of Bunds Futures Returns written by Thomas Werner and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in addition to classical indicators? The answers to these questions are (i) yes, (ii) no, and (iii) yes. The tail index is on average around 3, implying the nonexistence of the fourth moments. A recently developed test for changes in the tail behaviour indicated several breaks in the degree of heaviness of the return tails. Interestingly, the tails of the return distribution do not move in parallel to realised volatility. This suggests that the tails of futures returns contain information for risk management that complements those gained from more standard statistical measures.
Book Synopsis Emerging Markets and the Global Economy by : Mohammed El Hedi Arouri
Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
Book Synopsis Monthly Report of the Deutsche Bundesbank by :
Download or read book Monthly Report of the Deutsche Bundesbank written by and published by . This book was released on 2003 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Flood Forecasting and Hydraulic Structures by : P. V. Timbadiya
Download or read book Flood Forecasting and Hydraulic Structures written by P. V. Timbadiya and published by Springer Nature. This book was released on 2023-09-25 with total page 647 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book comprises the proceedings of the 26th International Conference on Hydraulics, Water Resources and Coastal Engineering (HYDRO 2021) focusing on broad spectrum of emerging opportunities and challenges in the field of flood forecasting and hydraulic structures. It covers a range of topics, including, but not limited to, early warning system, urban flood modelling and management, dam hazard classification, river training and protection works, structural and non-structural measures for flood mitigation, assessment and development of flood vulnerability, hazard and risk maps rehabilitation of old dams, streamflow turbines, canal operation and related structure, operation and management of dams including their instrumentation etc. Presenting recent advances in the form of illustrations, tables, and text, it offers readers insights for their own research. In addition, the book addresses fundamental concepts and studies in the field of flood forecasting and hydraulic structures, making it a valuable resource for both beginners and researchers wanting to further their understanding of hydraulics, water resources and coastal engineering.
Download or read book Monthly Report written by and published by . This book was released on 2003 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monthly Bulletin written by and published by . This book was released on 2003 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Annual Report by : European Central Bank
Download or read book Annual Report written by European Central Bank and published by . This book was released on 2002 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Annual Report by : European Monetary Institute
Download or read book Annual Report written by European Monetary Institute and published by . This book was released on 2003 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Book Synopsis International Macroeconomics in the Wake of the Global Financial Crisis by : Laurent Ferrara
Download or read book International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
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.
Book Synopsis Europe's Hidden Capital Markets by : Jean-Pierre Casey
Download or read book Europe's Hidden Capital Markets written by Jean-Pierre Casey and published by CEPS. This book was released on 2005 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing regulatory measures taken at the EU level that impact European bond markets, this book examines the desirability, utility, and feasibility of certain policy measures.
Book Synopsis Statistical Consequences of Fat Tails by : Nassim Nicholas Taleb
Download or read book Statistical Consequences of Fat Tails written by Nassim Nicholas Taleb and published by . This book was released on 2020-06-30 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions requires more than "changing the color of the dress." Traditional asymptotics deal mainly with either n=1 or n=∞, and the real world is in between, under the "laws of the medium numbers"-which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence. A few examples: - The sample mean is rarely in line with the population mean, with effect on "naïve empiricism," but can be sometimes be estimated via parametric methods. - The "empirical distribution" is rarely empirical. - Parameter uncertainty has compounding effects on statistical metrics. - Dimension reduction (principal components) fails. - Inequality estimators (Gini or quantile contributions) are not additive and produce wrong results. - Many "biases" found in psychology become entirely rational under more sophisticated probability distributions. - Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions. This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.
Book Synopsis Guidelines for Determining Flood Flow Frequency by :
Download or read book Guidelines for Determining Flood Flow Frequency written by and published by . This book was released on 1981 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econophysics of Order-driven Markets by : Frédéric Abergel
Download or read book Econophysics of Order-driven Markets written by Frédéric Abergel and published by Springer Science & Business Media. This book was released on 2011-04-06 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.