Nonparametric Estimation And Comparisons In Stochastic Short Term Interest Rate Models

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Handbook of Financial Econometrics

Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Simulation and Inference for Stochastic Differential Equations

Author : Stefano M. Iacus
Publisher : Springer Science & Business Media
ISBN 13 : 0387758399
Total Pages : 298 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Simulation and Inference for Stochastic Differential Equations by : Stefano M. Iacus

Download or read book Simulation and Inference for Stochastic Differential Equations written by Stefano M. Iacus and published by Springer Science & Business Media. This book was released on 2009-04-27 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers a highly relevant and timely topic that is of wide interest, especially in finance, engineering and computational biology. The introductory material on simulation and stochastic differential equation is very accessible and will prove popular with many readers. While there are several recent texts available that cover stochastic differential equations, the concentration here on inference makes this book stand out. No other direct competitors are known to date. With an emphasis on the practical implementation of the simulation and estimation methods presented, the text will be useful to practitioners and students with minimal mathematical background. What’s more, because of the many R programs, the information here is appropriate for many mathematically well educated practitioners, too.

Nonparametric Econometric Methods

Author : Qi Li
Publisher : Emerald Group Publishing
ISBN 13 : 1849506248
Total Pages : 570 pages
Book Rating : 4.8/5 (495 download)

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Book Synopsis Nonparametric Econometric Methods by : Qi Li

Download or read book Nonparametric Econometric Methods written by Qi Li and published by Emerald Group Publishing. This book was released on 2009-12-04 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.

Palgrave Handbook of Econometrics

Author : Terence C. Mills
Publisher : Springer
ISBN 13 : 0230244408
Total Pages : 1406 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Palgrave Handbook of Econometrics by : Terence C. Mills

Download or read book Palgrave Handbook of Econometrics written by Terence C. Mills and published by Springer. This book was released on 2009-06-25 with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following theseminal Palgrave Handbook of Econometrics: Volume I , this second volume brings together the finestacademicsworking in econometrics today andexploresapplied econometrics, containing contributions onsubjects includinggrowth/development econometrics and applied econometrics and computing.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

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.

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Author : René Carmona
Publisher : Springer Science & Business Media
ISBN 13 : 3540270671
Total Pages : 236 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by : René Carmona

Download or read book Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and published by Springer Science & Business Media. This book was released on 2007-05-22 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM

Financial Economics

Author : Antonio Mele
Publisher : MIT Press
ISBN 13 : 0262046849
Total Pages : 1147 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Financial Economics by : Antonio Mele

Download or read book Financial Economics written by Antonio Mele and published by MIT Press. This book was released on 2022-11-22 with total page 1147 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference for financial economics, balancing theoretical explanations, empirical evidence, and the practical relevance of knowledge in the field. This volume offers a comprehensive, integrated treatment of financial economics, tracking the major milestones in the field and providing methodological tools. Doing so, it balances theoretical explanations, empirical evidence, and practical relevance. It illustrates nearly a century of theoretical advances with a vast array of models, showing how real phenomena (and, at times, market practice) have helped economists reformulate existing theories. Throughout, the book offers examples and solved problems that help readers understand the main lessons conveyed by the models analyzed. The book provides a unique and authoritative reference for the field of financial economics. Part I offers the foundations of the field, introducing asset evaluation, information problems in asset markets and corporate finance, and methods of statistical inference. Part II explains the main empirical facts and the challenges these pose for financial economists, which include excess price volatility, market liquidity, market dysfunctionalities, and the countercyclical behavior of market volatility. Part III covers the main instruments that protect institutions against the volatilities and uncertainties of capital markets described in part II. Doing so, it relies on models that have become the market standard, and incorporates practices that emerged from the 2007–2008 financial crisis.

Handbook of Volatility Models and Their Applications

Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)

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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.

Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models

Author : Matt Pritsker
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models by : Matt Pritsker

Download or read book Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models written by Matt Pritsker and published by . This book was released on 1997 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Recent Advances and Trends in Nonparametric Statistics

Author : M.G. Akritas
Publisher : Elsevier
ISBN 13 : 0080540376
Total Pages : 523 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Recent Advances and Trends in Nonparametric Statistics by : M.G. Akritas

Download or read book Recent Advances and Trends in Nonparametric Statistics written by M.G. Akritas and published by Elsevier. This book was released on 2003-10-31 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: The advent of high-speed, affordable computers in the last two decades has given a new boost to the nonparametric way of thinking. Classical nonparametric procedures, such as function smoothing, suddenly lost their abstract flavour as they became practically implementable. In addition, many previously unthinkable possibilities became mainstream; prime examples include the bootstrap and resampling methods, wavelets and nonlinear smoothers, graphical methods, data mining, bioinformatics, as well as the more recent algorithmic approaches such as bagging and boosting. This volume is a collection of short articles - most of which having a review component - describing the state-of-the art of Nonparametric Statistics at the beginning of a new millennium.Key features:• algorithic approaches • wavelets and nonlinear smoothers • graphical methods and data mining • biostatistics and bioinformatics • bagging and boosting • support vector machines • resampling methods

Estimating One-factor Models of Short-term Interest Rates

Author : Desmond John Mc Manus
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Estimating One-factor Models of Short-term Interest Rates by : Desmond John Mc Manus

Download or read book Estimating One-factor Models of Short-term Interest Rates written by Desmond John Mc Manus and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considers a wide range of several continuous-time one-factor models for short-term interest rates that are nested into one general model.

Nonlinear Time Series

Author : Jiti Gao
Publisher : CRC Press
ISBN 13 : 1420011219
Total Pages : 249 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Nonlinear Time Series by : Jiti Gao

Download or read book Nonlinear Time Series written by Jiti Gao and published by CRC Press. This book was released on 2007-03-22 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully

Athens Conference on Applied Probability and Time Series Analysis

Author : P.M. Robinson
Publisher : Springer Science & Business Media
ISBN 13 : 1461224128
Total Pages : 443 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Athens Conference on Applied Probability and Time Series Analysis by : P.M. Robinson

Download or read book Athens Conference on Applied Probability and Time Series Analysis written by P.M. Robinson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Athens Conference on Applied Probability and Time Series in 1995 brought together researchers from across the world. The published papers appear in two volumes. Volume II presents papers on time series analysis, many of which were contributed to a meeting in March 1995 partly in honour of E.J. Hannan. The initial paper by P.M. Robinson discusses Ted Hannan's researches and their influence on current work in time series analysis. Other papers discuss methods for finite parameter Gaussian models, time series with infinite variance or stable marginal distribution, frequency domain methods, long range dependent processes, nonstationary processes, and nonlinear time series. The methods presented can be applied in a number of fields such as statistics, applied mathematics, engineering, economics and ecology. The papers include many of the topics of current interest in time series analysis and will be of interest to a wide range of researchers.

A Portrait of State-of-the-Art Research at the Technical University of Lisbon

Author : Manuel Seabra Pereira
Publisher : Springer Science & Business Media
ISBN 13 : 1402056907
Total Pages : 605 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis A Portrait of State-of-the-Art Research at the Technical University of Lisbon by : Manuel Seabra Pereira

Download or read book A Portrait of State-of-the-Art Research at the Technical University of Lisbon written by Manuel Seabra Pereira and published by Springer Science & Business Media. This book was released on 2007-11-24 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book celebrates the 75th anniversary of The Technical University of Lisbon (UTL). It provides a compelling picture of current state-of-art research at UTL. It contains the edited version of the invited lectures from a two day Symposium and brings together a comprehensive summary of high quality research contributions across basic and applied sciences. A broad spectrum of topics is covered reflecting UTL’s worldwide recognition.

Journal of Economic Dynamics & Control

Author :
Publisher :
ISBN 13 :
Total Pages : 1128 pages
Book Rating : 4.:/5 (49 download)

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Book Synopsis Journal of Economic Dynamics & Control by :

Download or read book Journal of Economic Dynamics & Control written by and published by . This book was released on 2002 with total page 1128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Volatility and Time Series Econometrics

Author : Mark Watson
Publisher : Oxford University Press
ISBN 13 : 0199549494
Total Pages : 432 pages
Book Rating : 4.1/5 (995 download)

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Book Synopsis Volatility and Time Series Econometrics by : Mark Watson

Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics