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Time Varying Volatility Indexes And Their Determinants
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Download or read book ICEMME 2022 written by Nikolaos Freris and published by European Alliance for Innovation. This book was released on 2023-02-15 with total page 2592 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is our great pleasure to have you at the 2022 4th International Conference on Economic Management and Model Engineering (ICEMME 2022), which was held in Nanjing, China from November 18th to 20th (virtual event). It is an international forum for academic communications between experts and scholars in the fields of economic management and model engineering. The main objective of ICEMME 2022 is to provide a platform to deliberate latest developments and future directions in the fields of economic management and model engineering. The conference provided opportunities for the delegates to exchange research ideas and scientific information, and established business or research relations for all participants to find global partners for future collaboration.
Book Synopsis Cryptocurrency Transaction Analysis From a Network Perspective by : Zhong-Yuan Zhang
Download or read book Cryptocurrency Transaction Analysis From a Network Perspective written by Zhong-Yuan Zhang and published by Frontiers Media SA. This book was released on 2022-08-19 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Proceedings of MAC-EMM 2015 in Prague by : group of authors
Download or read book Proceedings of MAC-EMM 2015 in Prague written by group of authors and published by MAC Prague consulting. This book was released on 2015-12-04 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Recent Developments in Alternative Finance by : Fredj Jawadi
Download or read book Recent Developments in Alternative Finance written by Fredj Jawadi and published by Emerald Group Publishing. This book was released on 2012-11-28 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the global financial crisis began in 2008-2009, there has been a strong decline in financial markets and investment. Alternative finance presents challenges intended to stimulate investment and promote economic growth and development. This volume aims to provide the reader an understanding of alternative finance in its various forms.
Book Synopsis International Sovereign Bonds by Emerging Markets and Developing Economies by : Andrea Presbitero
Download or read book International Sovereign Bonds by Emerging Markets and Developing Economies written by Andrea Presbitero and published by International Monetary Fund. This book was released on 2015-12-24 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: What determines the ability of low-income developing countries to issue bonds in international capital and what explains the spreads on these bonds? This paper examines these questions using a dataset that includes emerging markets and developing economies (EMDEs) that issued sovereign bonds at least once during the period 1995-2013 as well as those that did not. We find that an EMDE is more likely to issue a bond when, in comparison with non-issuing peers, it is larger in economic size, has higher per capita GDP, and has stronger macroeconomic fundamentals and government. Spreads on sovereign bonds are lower for countries with strong external and fiscal positions, as well as robust economic growth and government effectiveness. With regard to global factors, the results show that sovereign bond spreads are reduced in periods of lower market volatility.
Book Synopsis Global Stock Markets by : Wolfgang Drobetz
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Book Synopsis Case Studies in Bayesian Statistics by : Constantine Gatsonis
Download or read book Case Studies in Bayesian Statistics written by Constantine Gatsonis and published by Springer. This book was released on 2018-08-17 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains invited case studies with the accompanying discussion as well as contributed papers selected by a refereeing process of 6th Workshop on Case Studies in Bayesian Statistics was held at the Carnegie Mellon University in October, 2001.
Book Synopsis Index Fund Management by : Fadi Zaher
Download or read book Index Fund Management written by Fadi Zaher and published by Springer Nature. This book was released on 2019-08-28 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings simplicity to passive investing, smart beta, and factor investing, which is the fastest growing type of investment in the asset management industry. The subject has a strong academic foundation but often taught and presented in a quite complex and unorganized way. In recent years, index and factor investing solutions have been bestsellers. But factor investing success is not a foregone conclusion, and there are plenty of quirks and misprints in the literature. Do investors need a novel approach? The book provides answers to some of these questions in an open and objective fashion. Index fund management is increasingly taught in finance courses at universities. For market practitioners including trustees and investors, this book facilitates an increased understanding of how to invest in index and smart beta strategies, how to implement them, and what to be aware of with concrete and practical real-world examples.
Book Synopsis Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy by : Rachid Benlamri
Download or read book Leadership, Innovation and Entrepreneurship as Driving Forces of the Global Economy written by Rachid Benlamri and published by Springer. This book was released on 2016-12-01 with total page 790 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume aims to outline the fundamental principles behind leadership, innovation and entrepreneurship and show how the interrelations between them promote business and trade practices in the global economy. Derived from the 2016 International Conference on Leadership, Innovation, and Entrepreneurship (ICLIE), this volume showcases original papers presenting current research, discoveries and innovations across disciplines such as business, social sciences, engineering, health sciences and medicine. The pace of globalization is increasing at a rapid rate and is primarily driven by increasing volume of trade, accelerating pace of competition among nations, freer flows of capital and increased level of cooperation among trading partners. Leadership, innovation, and entrepreneurship are key driving forces in enhancing this phenomenon and are among the major catalysts for contemporary businesses trading in the global economy. This conference and the enclosed papers provides a platform in which to disseminate and exchange ideas to promote a better understanding of current issues and solutions to challenges in the globalized economy in relation to the fields of entrepreneurship, business and economics, technology management, and Islamic finance and management. Thus, the theories, research, innovations, methods and practices presented in this book will be of use to researchers, practitioners, student and policy makers across the globe.
Book Synopsis Managing Hedge Fund Risk and Financing by : David P. Belmont
Download or read book Managing Hedge Fund Risk and Financing written by David P. Belmont and published by John Wiley & Sons. This book was released on 2011-08-17 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate guide to dealing with hedge fund risk in a post-Great Recession world Hedge funds have been faced with a variety of new challenges as a result of the ongoing financial crisis. The simultaneous collapse of major financial institutions that were their trading counterparties and service providers, fundamental and systemic increases in market volatility and illiquidity, and unrelenting demands from investors to redeem their hedge fund investments have conspired to make the climate for hedge funds extremely uncomfortable. As a result, many funds have failed or been forced to close due to poor performance. Managing Hedge Fund Risk and Financing: Adapting to a New Era brings together the many lessons learned from the recent crisis. Advising hedge fund managers and CFOs on how to manage the risk of their investment strategies and structure relationships to best insulate their firms and investors from the failures of financial counterparties, the book looks in detail at the various methodologies for managing hedge fund market, credit, and operational risks depending on the hedge fund's investment strategy. Also covering best practice ISDA, Prime Brokerage, Fee and Margin Lock Up, and including tips for Committed Facility lending contracts, the book includes everything you need to know to learn from the events of the past to inform your future hedge fund dealings. Shows how to manage hedge fund risk through the application of financial risk modelling and measurement techniques as well as the structuring of financial relationships with investors, regulators, creditors, and trading counterparties Written by a global finance expert, David Belmont, who worked closely with hedge fund clients during the crisis and experienced first hand what works Explains how to profit from the financial crisis In the wake of the Financial Crisis there have been calls for more stringent management of hedge fund risk, and this timely book offers comprehensive guidelines for CFOs looking to ensure world-class levels of corporate governance.
Book Synopsis Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments by : Carol Alexander
Download or read book Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-06-09 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
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)
Book Synopsis Risk Factors And Contagion In Commodity Markets And Stocks Markets by : Stephane Goutte
Download or read book Risk Factors And Contagion In Commodity Markets And Stocks Markets written by Stephane Goutte and published by World Scientific. This book was released on 2020-04-28 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Book Synopsis Markets and Exchanges in Pre-Modern and Traditional Societies by : Juan Carlos Moreno Garcia
Download or read book Markets and Exchanges in Pre-Modern and Traditional Societies written by Juan Carlos Moreno Garcia and published by Oxbow Books. This book was released on 2021-06-30 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markets emerge in recent historical research as important spheres of economic interaction in ancient societies. In the case of ancient Egypt, traditional models imagined an all-encompassing centralized, bureaucratic economy that left practically no place for market transactions, as many surviving documents only described the activities of the royal palace and of huge institutions?mainly temples. Yet scattered references in the sources reveal that markets and traders were crucial actors in the economic life of ancient Egypt. In this perspective, this volume aims to discuss the role of markets, traders and economic interaction (not necessarily organized through markets) and the use of “money” (metals, valuable commodities) in pre-modern societies, based on archaeological, anthropological and historical evidence. Furthermore, it intends to integrate different perspectives about the social organization of transactions and exchanges and the different forms taken by markets, from meeting places where exchanges operated under ritualized procedures and conventions, to markets in which profit-seeking activities were marginal in respect with other practices that stressed, on the contrary, community collaboration. The book also deals with social forms of pre-modern exchanges in which trust and ethnic solidarity guaranteed the validity of commercial operations in the absence of formal codes of laws or accepted authorities over long distances (trade diasporas, guilds, etc.). Finally, the volume analyzes a critical aspect of small-scale trade and markets, such as the commercialization of agricultural household production and its impact on the peasant economic strategies. In all, the book covers a diversity of topics in which recent research in the fields of economic sociology, archaeology, anthropology, economics and history proves invaluable in order to analyze the role of Egyptian trade in a broader perspective, as well as to suggest new venues of comparative research, theoretical reflection and dialogue between Egyptology and social sciences. The book will also address pre-modern social organizations of trade activities in which trust and ethnic solidarity guaranteed the validity of commercial operations in the absence of formal codes of laws or accepted authorities over long distances, particularly trade diasporas, guilds, etc. This book will be the first in the new series from Oxbow, Multidisciplinary Approaches to Ancient Societies.
Book Synopsis Market Risk Analysis, Boxset by : Carol Alexander
Download or read book Market Risk Analysis, Boxset written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-24 with total page 1691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.
Book Synopsis Structural Changes and their Econometric Modeling by : Vladik Kreinovich
Download or read book Structural Changes and their Econometric Modeling written by Vladik Kreinovich and published by Springer. This book was released on 2018-11-24 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.
