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Author : Johan Knif
Publisher :
ISBN 13 : 9789516531963
Total Pages : 167 pages
Book Rating : 4.5/5 (319 download)
Download or read book Parameter Variability in the Single Factor Market Model written by Johan Knif and published by . This book was released on 1989 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jari-Erik Nurmi
Publisher :
ISBN 13 : 9789516531529
Total Pages : 0 pages
Book Rating : 4.5/5 (315 download)
Download or read book Parameter Variability in the Single Factor Market Model written by Jari-Erik Nurmi and published by . This book was released on 1988 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Deniz Kebabci
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (129 download)
Download or read book Portfolio Choice Implications of Parameter and Model Uncertainty in Factor Models written by Deniz Kebabci and published by . This book was released on 2009 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the portfolio choice implications of incorporating parameter and model uncertainty in (conditionally) linear factor models using industry portfolios. I examine a CAPM, a linear factor model with different predictor variables (dividend yield, price to book ratio, price to earnings ratio, and price to sales ratio), and a time-varying CAPM. All approaches incorporate parameter uncertainty in a mean-variance framework. I consider a time-varying CAPM with changing conditional variance. It is shown that taking into account the time variation in market betas improves the portfolio performance as measured by the ex-post Sharpe ratio compared to both an unconditional CAPM and a linear factor model with predictor variables. I also show the implications of using a Black-Litterman framework versus using a standard mean-variance approach in the asset allocation step. Black-Litterman framework can be thought as a model averaging approach and thus helps deal with both the parameter and model uncertainty problems. I show that Black-Litterman approach results in portfolios with a higher Sharpe ratio than those obtained by a standard mean-variance framework using a single model or historical averages.
Author : John Doukas
Publisher : Psychology Press
ISBN 13 : 9781560246626
Total Pages : 272 pages
Book Rating : 4.2/5 (466 download)
Download or read book European Equity Markets and Corporate Financial Decisions written by John Doukas and published by Psychology Press. This book was released on 1993 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: European Equity Markets and Corporate Financial Decisions explores the current nature of corporate decisions faced by European financial managers, the highly interdependent financial and economic environment in which they function, and how that environment seeks complete integration with other financial and economic environments. The contributing authors provide a timely core of theoretical and empirical investigations on a set of European equity markets and corporate financial management decisions to give readers a deeper understanding of equity markets in Europe.
Author :
Publisher :
ISBN 13 :
Total Pages : 612 pages
Book Rating : 4.E/5 ( download)
Download or read book International Journal of Forecasting written by and published by . This book was released on 1991 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. Wells
Publisher : Springer Science & Business Media
ISBN 13 : 940158611X
Total Pages : 181 pages
Book Rating : 4.4/5 (15 download)
Download or read book The Kalman Filter in Finance written by C. Wells and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)
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
Author :
Publisher :
ISBN 13 :
Total Pages : 440 pages
Book Rating : 4.3/5 (91 download)
Download or read book Commentationes Scientiarum Socialium written by and published by . This book was released on 1989 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 848 pages
Book Rating : 4.3/5 (512 download)
Download or read book Finnish Journal of Business Economics written by and published by . This book was released on 1990 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markku Malkamäki
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.3/5 ( download)
Download or read book Estimating Conditional Betas and the Price of Risk for a Thin Stock Market written by Markku Malkamäki and published by . This book was released on 1992 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francois-Serge Lhabitant
Publisher : Elsevier
ISBN 13 : 0081017863
Total Pages : 276 pages
Book Rating : 4.0/5 (81 download)
Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification
Author : International institute of forecasters
Publisher :
ISBN 13 :
Total Pages : 696 pages
Book Rating : 4.2/5 (7 download)
Download or read book International Journal of Forecasting written by International institute of forecasters and published by . This book was released on 1994 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jaya P. N. Bishwal
Publisher : Springer Nature
ISBN 13 : 3031038614
Total Pages : 634 pages
Book Rating : 4.0/5 (31 download)
Download or read book Parameter Estimation in Stochastic Volatility Models written by Jaya P. N. Bishwal and published by Springer Nature. This book was released on 2022-08-06 with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Author :
Publisher :
ISBN 13 :
Total Pages : 1140 pages
Book Rating : 4.3/5 (91 download)
Download or read book International Books in Print written by and published by . This book was released on 1998 with total page 1140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 682 pages
Book Rating : 4.3/5 (97 download)
Download or read book Bell Journal of Economics written by and published by . This book was released on 1978 with total page 682 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers research in the behavior of regulated industries, the economic analysis of organizations, and more generally, applied microeconomics.
Author : Jukka Vesala
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.3/5 ( download)
Download or read book Incomplete Exchange Rate Pass-through and Hysteresis in Trade written by Jukka Vesala and published by . This book was released on 1992 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markku Malkamäki
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 ( download)
Download or read book Conditional Risk and Predictability of Finnish Stock Returns written by Markku Malkamäki and published by . This book was released on 1992 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
