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Bootstrapping Stationary Arma Garch Models
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Book Synopsis Bootstrapping Stationary ARMA-GARCH Models by : Kenichi Shimizu
Download or read book Bootstrapping Stationary ARMA-GARCH Models written by Kenichi Shimizu and published by Springer Science & Business Media. This book was released on 2010-11-01 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bootstrap technique is a useful tool for assessing uncertainty in statistical estimation and thus it is widely applied for risk management. Bootstrap is without doubt a promising technique, however, it is not applicable to all time series models. A wrong application could lead to a false decision to take too much risk. Kenichi Shimizu investigates the limit of the two standard bootstrap techniques, the residual and the wild bootstrap, when these are applied to the conditionally heteroscedastic models, such as the ARCH and GARCH models. The author shows that the wild bootstrap usually does not work well when one estimates conditional heteroscedasticity of Engle’s ARCH or Bollerslev’s GARCH models while the residual bootstrap works without problems. Simulation studies from the application of the proposed bootstrap methods are demonstrated together with the theoretical investigation.
Book Synopsis Proceedings of Fifth International Congress on Information and Communication Technology by : Xin-She Yang
Download or read book Proceedings of Fifth International Congress on Information and Communication Technology written by Xin-She Yang and published by Springer Nature. This book was released on 2020-10-21 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers selected high-quality research papers presented at the Fifth International Congress on Information and Communication Technology, held at Brunel University, London, on February 20–21, 2020. It discusses emerging topics pertaining to information and communication technology (ICT) for managerial applications, e-governance, e-agriculture, e-education and computing technologies, the Internet of Things (IoT) and e-mining. Written by respected experts and researchers working on ICT, the book offers a valuable asset for young researchers involved in advanced studies.
Book Synopsis Modern Equity Investing Strategies by : Anatoly B Schmidt
Download or read book Modern Equity Investing Strategies written by Anatoly B Schmidt and published by World Scientific. This book was released on 2021-10-04 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will satisfy the demand among college majors in Finance and Financial Engineering, and mathematically-versed practitioners for description of both the classical approaches to equity investing and new investment strategies scattered in the periodic literature. Besides the major portfolio management theories (mean variance theory, CAPM, and APT), the book addresses several important topics: portfolio diversification, optimal ESG portfolios, factor models (smart betas), robust portfolio optimization, risk-based asset allocation, statistical arbitrage, alternative data based investing, back-testing of trading strategies, modern market microstructure, algorithmic trading, and agent-based modeling of financial markets. The book also includes the basic elements of time series analysis in the Appendix for self-contained presentation of the material. While the book covers technical concepts and models, it will not overburden the reader with math beyond the Finance undergraduates' curriculum.
Book Synopsis Linear Models and Time-Series Analysis by : Marc S. Paolella
Download or read book Linear Models and Time-Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Book Synopsis Statistical Portfolio Estimation by : Masanobu Taniguchi
Download or read book Statistical Portfolio Estimation written by Masanobu Taniguchi and published by CRC Press. This book was released on 2017-09-01 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered. This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.
Book Synopsis Innovations in Mechatronics Engineering by : José Machado
Download or read book Innovations in Mechatronics Engineering written by José Machado and published by Springer Nature. This book was released on 2021-06-15 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers a variety of topics in the field of mechatronics engineering, with a special focus on innovative control and automation concepts for applications in a wide range of field, including industrial production, medicine and rehabilitation, education and transport. Based on a set of papers presented at the 1st International Conference “Innovation in Engineering”, ICIE, held in Guimarães, Portugal, on June 28-30, 2021, the chapters report on cutting-edge control algorithms for mobile robots and robot manipulators, innovative industrial monitoring strategies for industrial process, improved production systems for smart manufacturing, and discusses important issues related to user experience, training and education, as well as national developments in the field of mechatronics . This volume, which belongs to a three-volume set, provides engineering researchers and professionals with a timely overview and extensive information on trends and technologies behind the future developments of mechatronics systems in the era of Industry 4.0.
Book Synopsis Financial Risk Management with Bayesian Estimation of GARCH Models by : David Ardia
Download or read book Financial Risk Management with Bayesian Estimation of GARCH Models written by David Ardia and published by Springer Science & Business Media. This book was released on 2008-05-08 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Book Synopsis Multivariate Modelling of Non-Stationary Economic Time Series by : John Hunter
Download or read book Multivariate Modelling of Non-Stationary Economic Time Series written by John Hunter and published by Springer. This book was released on 2017-05-08 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Book Synopsis Nonparametric Statistical Methods and Related Topics by : Francisco J. Samaniego
Download or read book Nonparametric Statistical Methods and Related Topics written by Francisco J. Samaniego and published by World Scientific. This book was released on 2011-09-16 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume consists of 22 research papers by leading researchers in Probability and Statistics. Many of the papers are focused on themes that Professor Bhattacharya has published on research. Topics of special interest include nonparametric inference, nonparametric curve fitting, linear model theory, Bayesian nonparametrics, change point problems, time series analysis and asymptotic theory. This volume presents state-of-the-art research in statistical theory, with an emphasis on nonparametric inference, linear model theory, time series analysis and asymptotic theory. It will serve as a valuable reference to the statistics research community as well as to practitioners who utilize methodology in these areas of emphasis.
Book Synopsis Time Series Analysis: Methods and Applications by :
Download or read book Time Series Analysis: Methods and Applications written by and published by Elsevier. This book was released on 2012-05-18 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas
Book Synopsis Time Series Analysis: Methods and Applications by : Tata Subba Rao
Download or read book Time Series Analysis: Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Book Synopsis Stationary Bootstrapping for Non-Parametric Estimator of Nonlinear Autoregressive Model by : Eunju Hwang
Download or read book Stationary Bootstrapping for Non-Parametric Estimator of Nonlinear Autoregressive Model written by Eunju Hwang and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider stationary bootstrap approximation of the non-parametric kernel estimator in a general kth-order nonlinear autoregressive model under the conditions ensuring that the nonlinear autoregressive process is a geometrically Harris ergodic stationary Markov process. We show that the stationary bootstrap procedure properly estimates the distribution of the non-parametric kernel estimator. A simulation study is provided to illustrate the theory and to construct confidence intervals, which compares the proposed method favorably with some other bootstrap methods.
Book Synopsis Modern Statistical Methods for Astronomy by : Eric D. Feigelson
Download or read book Modern Statistical Methods for Astronomy written by Eric D. Feigelson and published by Cambridge University Press. This book was released on 2012-07-12 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Statistical Methods for Astronomy: With R Applications.
Book Synopsis Handbook of Computational Econometrics by : David A. Belsley
Download or read book Handbook of Computational Econometrics written by David A. Belsley and published by John Wiley & Sons. This book was released on 2009-08-18 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Econometrics examines the state of the art of computational econometrics and provides exemplary studies dealing with computational issues arising from a wide spectrum of econometric fields including such topics as bootstrapping, the evaluation of econometric software, and algorithms for control, optimization, and estimation. Each topic is fully introduced before proceeding to a more in-depth examination of the relevant methodologies and valuable illustrations. This book: Provides self-contained treatments of issues in computational econometrics with illustrations and invaluable bibliographies. Brings together contributions from leading researchers. Develops the techniques needed to carry out computational econometrics. Features network studies, non-parametric estimation, optimization techniques, Bayesian estimation and inference, testing methods, time-series analysis, linear and nonlinear methods, VAR analysis, bootstrapping developments, signal extraction, software history and evaluation. This book will appeal to econometricians, financial statisticians, econometric researchers and students of econometrics at both graduate and advanced undergraduate levels.
Book Synopsis Statistical Theory and Method Abstracts by :
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 2001 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications by : José Ruiz-Shulcloper
Download or read book Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications written by José Ruiz-Shulcloper and published by Springer. This book was released on 2013-11-04 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 8258 and 8259 constitutes the refereed proceedings of the 18th Iberoamerican Congress on Pattern Recognition, CIARP 2013, held in Havana, Cuba, in November 2013. The 137 papers presented, together with two keynotes, were carefully reviewed and selected from 262 submissions. The papers are organized in topical sections on mathematical theory of PR, supervised and unsupervised classification, feature or instance selection for classification, image analysis and retrieval, signals analysis and processing, applications of pattern recognition, biometrics, video analysis, and data mining.
