Download or read book An Empirical Investigation of Non linear Effects in Realized Volatility written by Kayhan Alci and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis empirically applies the heterogeneous autoregressive (HAR) model to realized volatility obtained from high-frequency data of the EURO STOXX 50 index. After primary investigations of jumps and asymmetric effects, general non-linear effects expressed in terms of regime changes and structural breaks are analyzed in a tree-structured threshold model. Whereas thresholds for the short-term model are only found in endogenous variables, regimes with respect to exogenous variables such as U.S. stock market conditions and expectations of the EUR/USD volatility are identified for the mid- and long-term ones. Out-sample forecasting experiments show that the inclusion of regime shifts significantly improves performances, especially regarding short- to medium-term forecasts and predictions in highly volatile periods.
Download or read book Non Linear Effects of Economic Sentiment and Attention Measures on Realized Volatility written by Daniele Ballinari and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis analyses non-linear impacts of sentiment and attention variables on realized volatility by using an extensive dataset that combines news article, social media, search volume and information consumption data. Using a tree-structured heterogeneous autoregressive model, I investigate the question of whether volatility regimes can be identified by sentiment and attention measures. The full-sample results show that, even if only for a limited number of companies, investors' attention has a non-linear effect on realized volatility. In addition, forecasting results demonstrate that, in combination with a bootstrap aggregation approach, a tree-structured heterogeneous autoregressive model enhanced with sentiment and attention measures outperforms classical volatility models at the one-day horizon.
Download or read book Forecasting Realized Volatility with Linear and Nonlinear Models written by Michael McAleer and published by . This book was released on 2009 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Download or read book Proceedings of the Fourteenth International Conference on Management Science and Engineering Management written by Jiuping Xu and published by Springer Nature. This book was released on 2020-06-22 with total page 856 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers the proceedings of the 14th International Conference on Management Science and Engineering Management (ICMSEM 2020). Held at the Academy of Studies of Moldova from July 30 to August 2, 2020, the conference provided a platform for researchers and practitioners in the field to share their ideas and experiences. Covering a wide range of topics, including hot management issues in engineering science, the book presents novel ideas and the latest research advances in the area of management science and engineering management. It includes both theoretical and practical studies of management science applied in computing methodology, highlighting advanced management concepts, and computing technologies for decision-making problems involving large, uncertain and unstructured data. The book also describes the changes and challenges relating to decision-making procedures at the dawn of the big data era, and discusses new technologies for analysis, capture, search, sharing, storage, transfer and visualization, and in the context of privacy violations, as well as advances in the integration of optimization, statistics and data mining. Given its scope, it will appeal to a wide readership, particularly those looking for new ideas and research directions.
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.
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 2012-04-17 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.
Download or read book Three Essays on Non linear Asset Pricing written by and published by . This book was released on 2014 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation studies the asset pricing implications of non-linear models, including regime-switching models and non-linear diffusion models. The first chapter investigates empirically the effects of regime switches in stock returns and volatilities. First, the empirical results suggest that the expected excess return and the volatility are the monotonically increasing functions of the investors' belief. It implies that risk aversion is time-varying and the representative agent is more risk averse in the bear regime so that higher expected excess return and higher volatility are generated in the bear regime. The empirical work also finds that the term spread, the inflation rate, and the T-bill rate have significant business cycle patterns in the predictive regressions. For example, the term spread is positively related to the stock market returns in the bull regime, but is negatively related to the stock market returns in the bear regime. This suggests that the increasing term spread is a good news in the bad regime because it indicates that the economy is improving and will recover soon, thus the investors require a lower equity premium. In the second chapter, an econometric method is developed for pricing and estimation for a newclass of non-linear diffusion processes. These type of non-linear diffusion processes are used to model the dynamics of the VIX index under both the objective measure and the risk-neutral measure, where the latter is estimated from futures prices. The difference between the drifts under the objective measure and the risk-neutral measure is defined as a measure of the variance risk premium. The predictive regressions demonstrate that the variance risk premium estimated by the non-linear diffusion models has stronger predictive power for stock returns than the affine models. In the third chapter, a hidden Markov model is used to describe the dynamics of the realized variance of stock market returns. I investigate the relations among the variance regime, variance risk premium, and stock market returns. I find that the variance risk premium, i.e., the difference between the expected return variation under the risk-neutral and the physical measures, is higher in the high-variance regime, in which the volatility-of-volatility is high. However, the positive relation between the variance risk premium and future stock returns is entirely due to a component of variance risk premium that is orthogonal to the current realized variance and the variance regime. The results suggest that the predictive power of the variance risk premium for stock returns is more likely due to its correlation with time-varying risk aversion than with time-varying risks.
Download or read book WCNN 96 San Diego California U S A written by International Neural Network Society and published by Psychology Press. This book was released on 1996 with total page 1408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Market Microstructure and Nonlinear Dynamics written by Gilles Dufrénot and published by Springer. This book was released on 2014-07-14 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Download or read book Nonlinear Features of Realized FX Volatility written by McCurdy, Thomas H and published by Montréal : CIRANO. This book was released on 2001 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Research on Volatility and Contagion Effect in Stock Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-06 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.
Download or read book Dynamics of realized volatility and correlations an empirical study using interest rate spread options written by René Ferland and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Complex Sciences written by Jie Zhou and published by Springer Science & Business Media. This book was released on 2009-06-26 with total page 1219 pages. Available in PDF, EPUB and Kindle. Book excerpt: I was invited to join the Organizing Committee of the First International Conference on Complex Sciences: Theory and Applications (Complex 2009) as its ninth member. At that moment, eight distinguished colleagues, General Co-chairs Eugene Stanley and Gaoxi Xiao, Technical Co-chairs János Kertész and Bing-Hong Wang, Local Co-chairs Hengshan Wang and Hong-An Che, Publicity Team Shi Xiao and Yubo Wang, had spent hundreds of hours pushing the conference half way to its birth. Ever since then, I have been amazed to see hundreds of papers flooding in, reviewed and commented on by the TPC members. Finally, more than 200 contributions were - lected for the proceedings currently in your hands. They include about 200 papers from the main conference (selected from more than 320 submissions) and about 33 papers from the five collated workshops: Complexity Theory of Art and Music (COART) Causality in Complex Systems (ComplexCCS) Complex Engineering Networks (ComplexEN) Modeling and Analysis of Human Dynamics (MANDYN) Social Physics and its Applications (SPA) Complex sciences are expanding their colonies at such a dazzling speed that it - comes literally impossible for any conference to cover all the frontiers.
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.
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.
