Detecting Multiple Breaks In Financial Market Volatility Dynamics

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Detecting Multiple Breaks in Financial Market Volatility Dynamics

Author : Elena Andreou
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Detecting Multiple Breaks in Financial Market Volatility Dynamics by : Elena Andreou

Download or read book Detecting Multiple Breaks in Financial Market Volatility Dynamics written by Elena Andreou and published by . This book was released on 2012 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper evaluates the performance of several recently proposed tests for structural breaks in conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data-driven volatility estimators using high-frequency data. In addition to testing for the presence of breaks, the statistics identify the number and location of multiple breaks. We study the size and power of the new tests for detecting breaks in the conditional variance under various realistic univariate heteroskedastic models, change-point hypotheses and sampling schemes. The paper concludes with an empirical analysis using data from the stock and FX markets for which we find multiple breaks associated with the Asian and Russian financial crises. These events resulted in changes in the dynamics of volatility of asset returns in the samples prior and post the breaks.

Detecting Multiple Breaks in Financial Market Volatility Dynamics

Author : Ghysels, Eric
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (497 download)

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Book Synopsis Detecting Multiple Breaks in Financial Market Volatility Dynamics by : Ghysels, Eric

Download or read book Detecting Multiple Breaks in Financial Market Volatility Dynamics written by Ghysels, Eric and published by Montréal : CIRANO. This book was released on 2001 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Financial Time Series

Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen

Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility

Author : Duc Khuong Nguyen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility by : Duc Khuong Nguyen

Download or read book Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility written by Duc Khuong Nguyen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote economic growth and rapid maturation of the emerging markets of the world. We first estimate a bivariate GARCH-M model to obtain conditional volatility series for each market. Second, we test for significant structural breaks in the conditional volatility series to determine whether the observed break dates coincide with any of the stock market reforms. Third, the effect of liberalization policy on market volatility is formally tested using a pooled time-series cross-section estimation that includes a host of explanatory variables in addition to market reform variables. Overall, the results indicate that structural breaks in the dynamic patterns of the sample emerging market volatility do not happen together with official liberalization dates, but they coincide with ADR/Country Fund dates and with dates of large increases in the US capital flows. The pooled estimation generally supports the findings from structural break analysis. Hence, it is possible to claim that liberalization methods other than liberalization via a formal policy decree are the ones that significantly affect volatility.

Forecasting in the Presence of Structural Breaks and Model Uncertainty

Author : David E. Rapach
Publisher : Emerald Group Publishing
ISBN 13 : 1849505403
Total Pages : 691 pages
Book Rating : 4.8/5 (495 download)

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Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach

Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.

Modelling Structural Breaks, Long Memory and Stock Market Volatility

Author : Anindya Banerjee
Publisher :
ISBN 13 :
Total Pages : 373 pages
Book Rating : 4.:/5 (878 download)

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Book Synopsis Modelling Structural Breaks, Long Memory and Stock Market Volatility by : Anindya Banerjee

Download or read book Modelling Structural Breaks, Long Memory and Stock Market Volatility written by Anindya Banerjee and published by . This book was released on 2005 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asset Price Dynamics, Volatility, and Prediction

Author : Stephen J. Taylor
Publisher : Princeton University Press
ISBN 13 : 1400839254
Total Pages : 544 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Asset Price Dynamics, Volatility, and Prediction by : Stephen J. Taylor

Download or read book Asset Price Dynamics, Volatility, and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.

A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India

Author : Dr GangineniDhanaiah
Publisher : Archers & Elevators Publishing House
ISBN 13 : 9386501899
Total Pages : pages
Book Rating : 4.3/5 (865 download)

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Book Synopsis A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India by : Dr GangineniDhanaiah

Download or read book A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India written by Dr GangineniDhanaiah and published by Archers & Elevators Publishing House. This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Functional Instability or Paradigm Shift?

Author : Amitava Sarkar
Publisher : Springer Science & Business Media
ISBN 13 : 8132204662
Total Pages : 78 pages
Book Rating : 4.1/5 (322 download)

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Book Synopsis Functional Instability or Paradigm Shift? by : Amitava Sarkar

Download or read book Functional Instability or Paradigm Shift? written by Amitava Sarkar and published by Springer Science & Business Media. This book was released on 2012-03-13 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigates the working of the Indian stock market in recent years and attempts to look for functional instability, if any, embedded in the stock market. Specifically, it explores to discern whether there been any significant change in recent years in Indian stock market and the nature and characteristics of such changes, if any. It chooses the nine year period from 1999 to 2008. Over this period, stock market witnessed some major price changes: one in late 1999 that ended in mid 2001, another that commenced from mid 2004 and a recent one that in effect commenced from early 2008. There is significant volatility in the market with presence of risk premium;there is asymmetric impact. The market responds more to the negative shocks. The global stock market is having its influence on Indian stock market. The impact of developed country effect, particularly, that of US stock market has been the most prominent. There is some evidence for regional contagion. When we look at the domestic sectors, we see that the traditional sectors, -Capital Goods and Consumer Durables,are the two most predominant sectors. Other sectors, particularly the IT sector, have only a mild, almost insignificant impact on market volatility and transmits very little of its volatility to other sectors.

Complexity and Synergetics

Author : Stefan C. Müller
Publisher : Springer
ISBN 13 : 3319643347
Total Pages : 415 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Complexity and Synergetics by : Stefan C. Müller

Download or read book Complexity and Synergetics written by Stefan C. Müller and published by Springer. This book was released on 2017-11-16 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: All of us are confronted with complex phenomena occurring in daily life and in the living and inanimate nature surrounding us. Our scientific curiosity strives to unravel the mechanisms at work to create such complexity. Among various approaches to solve this problem, the field of synergetics, developed by Hermann Haken, has proven very successful as a general and interdisciplinary concept for describing and explaining complex phenomena that appear in systems under non-equilibrium conditions. These comprise dynamical states in evolving systems, spatial structure-forming processes, synchronization of states and regulatory mechanisms, and many other examples. The encompassing concepts have been applied to many disciplines, like physics, chemistry, biology, and beyond those also from synergetics to information theory, brain science, economics, and others. Starting from basic methods of complexity research and synergetics, this volume contains thirty contributions on complex systems that exhibit spontaneous pattern formation far from thermal equilibrium. Written by international experts and young researchers assembled under one roof, this volume reflects state of the art research from a variety of scientific fields and disciplines where complexity theory and synergetics are important or even indispensable tools today and in the future.

On the Role of Structural Breaks in Identifying the Dynamic Conditional Linkages Between Stock and Commodity Markets

Author : Abdelkader Derbali
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis On the Role of Structural Breaks in Identifying the Dynamic Conditional Linkages Between Stock and Commodity Markets by : Abdelkader Derbali

Download or read book On the Role of Structural Breaks in Identifying the Dynamic Conditional Linkages Between Stock and Commodity Markets written by Abdelkader Derbali and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: As the nexus between Islamic financial market indexes and energy commodities becomes more global, the question of whether any specific shock considerations are still relevant that might affect this relationship arises. In order to answer it, our paper examines this question by testing the dynamic conditional correlation (DCC) betwee the Qatar Exchange Al Rayan Islamic Index and two energy commodities (crude oil and natural gas) by including structural breaks in the DCC-generalized autoregressive conditional heteroscedasticity (GARCH) model, as introduced by Engle in "Dynamic conditional correlation: a simple class of multivariate GARCH models" (2002), over the period from March 15, 2011 to December 25, 2014. Our findings reveal that the volatility of commodity returns is strongly correlated to that of the Al Rayan Islamic Index, and the volatility persistence decreases by its lowest amount after incorporating structural breaks. Interesting implications emerge from this paper for both policy makers and portfolio risk managers.

Modelling and forecasting stock return volatility and the term structure of interest rates

Author : Michiel de Pooter
Publisher : Rozenberg Publishers
ISBN 13 : 9051709153
Total Pages : 286 pages
Book Rating : 4.0/5 (517 download)

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Book Synopsis Modelling and forecasting stock return volatility and the term structure of interest rates by : Michiel de Pooter

Download or read book Modelling and forecasting stock return volatility and the term structure of interest rates written by Michiel de Pooter and published by Rozenberg Publishers. This book was released on 2007 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.

Empirical Economic and Financial Research

Author : Jan Beran
Publisher : Springer
ISBN 13 : 3319031228
Total Pages : 506 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Empirical Economic and Financial Research by : Jan Beran

Download or read book Empirical Economic and Financial Research written by Jan Beran and published by Springer. This book was released on 2014-11-07 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research.

Financial Surveillance

Author : Marianne Frisen
Publisher : John Wiley & Sons
ISBN 13 : 9780470987162
Total Pages : 272 pages
Book Rating : 4.9/5 (871 download)

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Book Synopsis Financial Surveillance by : Marianne Frisen

Download or read book Financial Surveillance written by Marianne Frisen and published by John Wiley & Sons. This book was released on 2008-02-28 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book-length treatment of statistical surveillance methods used in financial analysis. It contains carefully selected chapters written by specialists from both fields and strikes a balance between the financial and statistical worlds, enhancing future collaborations between the two areas, and enabling more successful prediction of financial market trends. The book discusses, in detail, schemes for different control charts and different linear and nonlinear time series models and applies methods to real data from worldwide markets, as well as including simulation studies.

Statistical Tools for Finance and Insurance

Author : Pavel Cizek
Publisher : Springer Science & Business Media
ISBN 13 : 3642180620
Total Pages : 410 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Statistical Tools for Finance and Insurance by : Pavel Cizek

Download or read book Statistical Tools for Finance and Insurance written by Pavel Cizek and published by Springer Science & Business Media. This book was released on 2011-03-18 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methods and the applicability of the stochastic technology Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations Covers topics such as - expected shortfall for heavy tailed and mixture distributions* - pricing of variance swaps* - volatility smile calibration in FX markets - pricing of catastrophe bonds and temperature derivatives* - building loss models and ruin probability approximation - insurance pricing with GLM* - equity linked retirement plans*(new topics in the second edition marked with*) Presents extensive examples

Applied Quantitative Finance

Author : Wolfgang Karl Härdle
Publisher : Springer Science & Business Media
ISBN 13 : 3540691790
Total Pages : 452 pages
Book Rating : 4.5/5 (46 download)

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Book Synopsis Applied Quantitative Finance by : Wolfgang Karl Härdle

Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle and published by Springer Science & Business Media. This book was released on 2008-08-26 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.

GeoComputation and Public Health

Author : Gouri Sankar Bhunia
Publisher : Springer Nature
ISBN 13 : 3030711986
Total Pages : 298 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis GeoComputation and Public Health by : Gouri Sankar Bhunia

Download or read book GeoComputation and Public Health written by Gouri Sankar Bhunia and published by Springer Nature. This book was released on 2021-06-24 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: GeoComputation and Public Health is fundamentally a multi-disciplinary book, which presents an overview and case studies to exemplify numerous methods and solicitations in addressing vectors borne diseases (e.g, Visceral leishmaniasis, Malaria, Filaria). This book includes a practical coverage of the use of spatial analysis techniques in vector-borne disease using open source software solutions. Environmental factors (relief characters, climatology, ecology, vegetation, water bodies etc.) and socio-economic issues (housing type & pattern, education level, economic status, income level, domestics’ animals, census data, etc) are investigated at micro -level and large scale in addressing the various vector-borne disease. This book will also generate a framework for interdisciplinary discussion, latest innovations, and discoveries on public health. The first section of the book highlights the basic and principal aspects of advanced computational practices. Other sections of the book contain geo-simulation, agent-based modeling, spatio-temporal analysis, geospatial data mining, various geocomputational applications, accuracy and uncertainty of geospatial models, applications in environmental, ecological, and biological modeling and analysis in public health research. This book will be useful to the postgraduate students of geography, remote sensing, ecology, environmental sciences and research scholars, along with health professionals looking to solve grand challenges and management on public health.