Time Varying Distribution And Hedging Effectiveness Of Three Pacific Basin Stock Futures

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Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures

Author : Taufiq Choudhry
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures by : Taufiq Choudhry

Download or read book Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures written by Taufiq Choudhry and published by . This book was released on 2001 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the hedging effectiveness of Australian, Hong Kong and Japanese stock futures markets. For each market two sets of futures indices are used in the empirical tests. Effectiveness of four different hedging ratios depending on different estimation procedures are investigated. The unhedged, the traditional hedge and the minimum variance hedge ratios are all constant while the bivariate GARCH hedge ratio is time-varying. The effectiveness of the hedge ratio are compared by investigating the out-of-sample performance of the four ratios. The whole sample consist of daily returns from January 1990 to December 1998. Two out-of-sample periods are used January1997 to December 1998 (two years) and from January 1998 to December 1998 (one year). Results show that the time-varying GARCH hedge ratio out-performs the constant ratios in most of the cases but not all. This is true using both out-of-sample periodsKeyWords: Hedge Ratio, Bivariate GARCH, Cash Index, Futures Index, Variance.

Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

Author : G. Gregoriou
Publisher : Springer
ISBN 13 : 0230295223
Total Pages : 216 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models by : G. Gregoriou

Download or read book Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models written by G. Gregoriou and published by Springer. This book was released on 2010-12-21 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

Stock Index Futures

Author : Charles M.S. Sutcliffe
Publisher : Routledge
ISBN 13 : 1351148559
Total Pages : 534 pages
Book Rating : 4.3/5 (511 download)

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Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

international review of the economics & finance

Author :
Publisher :
ISBN 13 :
Total Pages : 520 pages
Book Rating : 4./5 ( download)

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Book Synopsis international review of the economics & finance by :

Download or read book international review of the economics & finance written by and published by . This book was released on 2004 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Research, Innovation, and Industry Impacts of the Metaverse

Author : Kumar, Jeetesh
Publisher : IGI Global
ISBN 13 :
Total Pages : 361 pages
Book Rating : 4.3/5 (693 download)

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Book Synopsis Research, Innovation, and Industry Impacts of the Metaverse by : Kumar, Jeetesh

Download or read book Research, Innovation, and Industry Impacts of the Metaverse written by Kumar, Jeetesh and published by IGI Global. This book was released on 2024-06-06 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imagine a world where the digital and physical worlds intertwine seamlessly - this is the metaverse. This complex digital environment has the potential to revolutionize our lives in a multitude of ways. Yet the lack of standardized frameworks and guidelines creates a fragmented ecosystem with varying levels of security, privacy, and usability that can hinder the integration of the metaverse into our daily lives in cohesive, safe, and beneficial ways. Research, Innovation, and Industry Impacts of the Metaverse offers a comprehensive solution to the challenges posed by the metaverse. It serves as a roadmap for researchers, academics, and practitioners by providing a structured framework for exploring the metaverse. It covers foundational technologies, academic research, real-world applications, and challenges, offering insights into defining the metaverse, its technologies, and future potential. The book equips readers with the knowledge and tools needed to navigate the complexities of the metaverse and contribute to its responsible development. Showcasing the latest research contributions, this book initiates academic discourse and innovation. It fosters interdisciplinary collaboration, ensuring a holistic understanding of the metaverse's impact on society, education, commerce, and more, while empowering readers to harness the metaverse's full potential.

Nonparametric Econometrics

Author : Qi Li
Publisher : Princeton University Press
ISBN 13 : 1400841062
Total Pages : 769 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Nonparametric Econometrics by : Qi Li

Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2011-10-09 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.

The McGraw-Hill Finance Literature Index

Author :
Publisher :
ISBN 13 :
Total Pages : 508 pages
Book Rating : 4.3/5 (512 download)

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Book Synopsis The McGraw-Hill Finance Literature Index by :

Download or read book The McGraw-Hill Finance Literature Index written by and published by . This book was released on 1996 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stock Index Futures

Author : Charles M.S. Sutcliffe
Publisher : Routledge
ISBN 13 : 1351148540
Total Pages : 844 pages
Book Rating : 4.3/5 (511 download)

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Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.

Commodity Price Dynamics

Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 239 pages
Book Rating : 4.1/5 (395 download)

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Book Synopsis Commodity Price Dynamics by : Craig Pirrong

Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

The Structure and Operation of the World Gold Market

Author : Gary O'Callaghan
Publisher :
ISBN 13 : 9781557752819
Total Pages : 39 pages
Book Rating : 4.7/5 (528 download)

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Book Synopsis The Structure and Operation of the World Gold Market by : Gary O'Callaghan

Download or read book The Structure and Operation of the World Gold Market written by Gary O'Callaghan and published by . This book was released on 1993 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dated September 1993

Security Analysis, Portfolio Management, And Financial Derivatives

Author : Cheng Few Lee
Publisher : World Scientific Publishing Company
ISBN 13 : 9814458902
Total Pages : 1190 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Security Analysis, Portfolio Management, And Financial Derivatives by : Cheng Few Lee

Download or read book Security Analysis, Portfolio Management, And Financial Derivatives written by Cheng Few Lee and published by World Scientific Publishing Company. This book was released on 2012-10-01 with total page 1190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.

Efficiency and Anomalies in Stock Markets

Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)

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Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Revisiting Risk-Weighted Assets

Author : Vanessa Le Leslé
Publisher : International Monetary Fund
ISBN 13 : 1475502656
Total Pages : 50 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Revisiting Risk-Weighted Assets by : Vanessa Le Leslé

Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

American Doctoral Dissertations

Author :
Publisher :
ISBN 13 :
Total Pages : 848 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis American Doctoral Dissertations by :

Download or read book American Doctoral Dissertations written by and published by . This book was released on 1999 with total page 848 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.

Freight Derivatives and Risk Management in Shipping

Author : Manolis G. Kavussanos
Publisher : Taylor & Francis
ISBN 13 : 1000368963
Total Pages : 555 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Freight Derivatives and Risk Management in Shipping by : Manolis G. Kavussanos

Download or read book Freight Derivatives and Risk Management in Shipping written by Manolis G. Kavussanos and published by Taylor & Francis. This book was released on 2021-04-29 with total page 555 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced practical textbook deals with the issue of risk analysis, measurement and management in the shipping industry. It identifies and analyses the sources of risk in the shipping business and explores in detail the “traditional” and “modern” strategies for risk management at both the investment and operational levels of the business. The special features and characteristics of all available freight derivative products are compared and contrasted between them. Practical applications of derivatives are showcased through realistic practical examples, while a number of concepts across the contents of this book appear for the first time in the literature. The book also serves as “the reference” point for researchers in the area, helping them to enhance their knowledge of risk management and derivatives in the shipping industry, but also to students at both undergraduate and postgraduate levels. Finally, it provides a comprehensive manual for practitioners wishing to engage in the financial risk management of maritime business. This second edition has been fully updated in order to incorporate the numerous developments in the industry since its first edition in 2006. New chapters have been introduced on topics such as Market Risk Measurement, Credit Risk and Credit Derivatives, and Statistical Methods to Quantify Risk. Furthermore, the second edition of this book builds upon the successful first edition which has been extensively (i) taught in a number of Universities around the world and (ii) used by professionals in the industry. Shipowners, professionals in the shipping industry, risk management officers, credit officers, traders, investors, students and researchers will find the book indispensable in order to understand how risk management and hedging tools can make the difference for companies to remain competitive and stay ahead of the rest.

Options Markets

Author : John C. Cox
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 518 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Options Markets by : John C. Cox

Download or read book Options Markets written by John C. Cox and published by Prentice Hall. This book was released on 1985 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.