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Essays On Skewness
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Download or read book Essays on Skewness written by Fang Zhen and published by . This book was released on 2017 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is devoted to the study of the higher-moment risk, in particular, the skewness risk. In Chapter 2, we provide an exact formula for the skewness of stock returns implied in the Heston (1993) model by using a moment-computing approach. We compute the moments of Ito integrals by using Ito's Lemma skillfully. The model's affine property allows us to obtain analytical formulas for cumulants. The formulas for the variance and the third cumulant are written as time-weighted sums of expected instantaneous variance, which are neater and more intuitive than those obtained with the characteristic function approach. Our skewness formula is then applied in calibrating Heston's model by using the market data of the CBOE VIX and SKEW. The CBOE SKEW is an index launched by the Chicago Board Options Exchange (CBOE) in February 2011. Its term structure tracks the risk-neutral skewness of the S & P 500 index (SPX) for different maturities. In Chapter 3, we develop a theory for the CBOE SKEW by modelling SPX using a jump-diffusion process with stochastic volatility and stochastic jump intensity. With the term structure data of VIX and SKEW, we estimate model parameters and obtain the four processes of variance, jump intensity and their long-term mean levels. Our results can be used to describe the risk-neutral distribution of the SPX returns and to price SPX options. In Chapter 4, We measure the jump magnitude of the SPX index by using sum of cubed returns (i.e., realized cubic variation). We further detect the existence of jumps if the jump magnitude is higher than a given threshold. Both option-implied and time-series information are used to forecast future one-month jump magnitude and jump existence likelihood. Our results show that option-implied information, coupled with past diffusive variance, is more efficient in forecasting jump magnitude than is time-series information, whereas past realized variance outperforms option-implied information in forecasting jump existence likelihood. We also find that the realized cubic variation and its risk-neutral expectation are significantly negatively correlated.
Book Synopsis Essays in Honor of Peter C. B. Phillips by : Thomas B. Fomby
Download or read book Essays in Honor of Peter C. B. Phillips written by Thomas B. Fomby and published by Emerald Group Publishing. This book was released on 2014-11-21 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
Book Synopsis Essays in Honour of Fabio Canova by : Juan J. Dolado
Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-16 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Book Synopsis Caught Up in the (Higher) Moments by : Ronald Jared DeLisle
Download or read book Caught Up in the (Higher) Moments written by Ronald Jared DeLisle and published by . This book was released on 2010 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: This dissertation examines if information extracted from the options markets is priced in the cross-section of equity returns and whether or not this information is a systematic risk factor. Several versions of the Intertemporal Capital Asset Pricing Model predict that changes in aggregate volatility are priced into the cross-section of stock returns. Literature confirms that changes in expected future market volatility are priced into the cross-section of stock returns. Several of these studies use the VIX Index as proxy for future market volatility, and suggest that it is a risk factor. However, prior studies do not test whether asymmetric volatility affects if firm sensitivity to changes in VIX is related to risk, or is just a characteristic uniformly affecting all firms. The first chapter of my dissertation examines the asymmetric relation of stock returns and changes in VIX. The study finds that sensitivity to VIX innovations affects returns when volatility is rising, but not when it is falling. When VIX rises this sensitivity is a priced risk factor, but when it falls there is a positive impact on all stocks irrespective of VIX loadings. The second essay of my dissertation uses the second, third, and fourth moments of the risk-neutral density extracted from options on the S & P 500 as the proxy for changes in the expected future market return distribution rather than just the VIX index. The VIX index, while easily obtained, contains limited information due to its construction. The risk-neutral moments map one-to-one to the real-world volatility smile from market options, and contain all the information in the cross-section of market option moneyness and provide a richer proxy for changes in expected future market return distribution. The analyses find that positive change in risk-neutral skewness is a risk-factor and that change in risk-neutral kurtosis is not. The evidence for change in risk-neutral volatility being a risk factor, however, is ambiguous.
Download or read book Physics Essays written by and published by . This book was released on 1988 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Habit Formation and Catching Up with the Joneses by : Chonghyun Byun
Download or read book Essays on Habit Formation and Catching Up with the Joneses written by Chonghyun Byun and published by . This book was released on 2005 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mathematical Essays in honor of Gian-Carlo Rota by : Bruce Sagan
Download or read book Mathematical Essays in honor of Gian-Carlo Rota written by Bruce Sagan and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: In April of 1996 an array of mathematicians converged on Cambridge, Massachusetts, for the Rotafest and Umbral Calculus Workshop, two con ferences celebrating Gian-Carlo Rota's 64th birthday. It seemed appropriate when feting one of the world's great combinatorialists to have the anniversary be a power of 2 rather than the more mundane 65. The over seventy-five par ticipants included Rota's doctoral students, coauthors, and other colleagues from more than a dozen countries. As a further testament to the breadth and depth of his influence, the lectures ranged over a wide variety of topics from invariant theory to algebraic topology. This volume is a collection of articles written in Rota's honor. Some of them were presented at the Rotafest and Umbral Workshop while others were written especially for this Festschrift. We will say a little about each paper and point out how they are connected with the mathematical contributions of Rota himself.
Book Synopsis Essays on the Discounted Penalty at Ruin and the Effect of Skewness on Option Prices by : Bruno Landry
Download or read book Essays on the Discounted Penalty at Ruin and the Effect of Skewness on Option Prices written by Bruno Landry and published by . This book was released on 1998 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Finite Sample Inference and Financial Econometrics by : Yong Bao
Download or read book Essays on Finite Sample Inference and Financial Econometrics written by Yong Bao and published by . This book was released on 2004 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Econometrics by : Clive W. J. Granger
Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-07-23 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.
Book Synopsis Computational and Methodological Statistics and Biostatistics by : Andriëtte Bekker
Download or read book Computational and Methodological Statistics and Biostatistics written by Andriëtte Bekker and published by Springer Nature. This book was released on 2020-08-10 with total page 543 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the statistical domain, certain topics have received considerable attention during the last decade or so, necessitated by the growth and evolution of data and theoretical challenges. This growth has invariably been accompanied by computational advancement, which has presented end users as well as researchers with the necessary opportunities to handle data and implement modelling solutions for statistical purposes. Showcasing the interplay among a variety of disciplines, this book offers pioneering theoretical and applied solutions to practice-oriented problems. As a carefully curated collection of prominent international thought leaders, it fosters collaboration between statisticians and biostatisticians and provides an array of thought processes and tools to its readers. The book thereby creates an understanding and appreciation of recent developments as well as an implementation of these contributions within the broader framework of both academia and industry. Computational and Methodological Statistics and Biostatistics is composed of three main themes: • Recent developments in theory and applications of statistical distributions;• Recent developments in supervised and unsupervised modelling;• Recent developments in biostatistics; and also features programming code and accompanying algorithms to enable readers to replicate and implement methodologies. Therefore, this monograph provides a concise point of reference for a variety of current trends and topics within the statistical domain. With interdisciplinary appeal, it will be useful to researchers, graduate students, and practitioners in statistics, biostatistics, clinical methodology, geology, data science, and actuarial science, amongst others.
Book Synopsis Writing about Quantitative Research in Applied Linguistics by : L. Woodrow
Download or read book Writing about Quantitative Research in Applied Linguistics written by L. Woodrow and published by Springer. This book was released on 2014-09-28 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: With increasing pressure on academics and graduate students to publish in peer reviewed journals, this book offers a much-needed guide to writing about and publishing quantitative research in applied linguistics. With annotated examples and useful resources, this book will be indispensable to graduate students and seasoned researchers alike.
Book Synopsis Essays on the Formal Aspects of Electromagnetic Theory by : Akhlesh Lakhtakia
Download or read book Essays on the Formal Aspects of Electromagnetic Theory written by Akhlesh Lakhtakia and published by World Scientific. This book was released on 1993 with total page 824 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with formal aspects of electromagnetic theory from the classical, the semiclassical and the quantum viewpoints in essays written by internationally distinguished scholars from several countries. The fundamental basis of electromagnetic theory is examined in order to elucidate Maxwell's equations, identify problematic aspects as well as outstanding problems, suggest ways and means of overcoming the obstacles, and review existing literature.This book will be especially valuable for those who wish to go in depth, rather than simply use Maxwell's equations for the solution of engineering problems. Graduate students will find it rich in dissertation topics, and advanced researchers will relish the controversial and detailed arguments and models.
Book Synopsis Essays in Political Economy by : Gautam Mathur
Download or read book Essays in Political Economy written by Gautam Mathur and published by Concept Publishing Company. This book was released on 1999 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Nonlinear Time Series Econometrics by : Niels Haldrup
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Book Synopsis Essays in Derivatives by : Don M. Chance
Download or read book Essays in Derivatives written by Don M. Chance and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Book Synopsis Specifications for Practical Architecture. Preceded by an Essay on the Decline of Excellence in the Structure and in the Science of Modern English Buildings ... Second Edition by : Alfred Bartholomew
Download or read book Specifications for Practical Architecture. Preceded by an Essay on the Decline of Excellence in the Structure and in the Science of Modern English Buildings ... Second Edition written by Alfred Bartholomew and published by . This book was released on 1846 with total page 878 pages. Available in PDF, EPUB and Kindle. Book excerpt:
