Download or read book ARCH Models for Financial Applications written by Evdokia Xekalaki and published by John Wiley & Sons. This book was released on 2010-03-18 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
Download or read book ARCH Models and Financial Applications written by Christian Gourieroux and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.
Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Download or read book An Unstable Arch Model of a Solar Flare written by D. S. Spicer and published by . This book was released on 1976 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Introduction to Time Series and Forecasting written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: Some of the key mathematical results are stated without proof in order to make the underlying theory acccessible to a wider audience. The book assumes a knowledge only of basic calculus, matrix algebra, and elementary statistics. The emphasis is on methods and the analysis of data sets. The logic and tools of model-building for stationary and non-stationary time series are developed in detail and numerous exercises, many of which make use of the included computer package, provide the reader with ample opportunity to develop skills in this area. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include harmonic regression, the Burg and Hannan-Rissanen algorithms, unit roots, regression with ARMA errors, structural models, the EM algorithm, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introducitons are also given to cointegration and to non-linear, continuous-time and long-memory models. The time series package included in the back of the book is a slightly modified version of the package ITSM, published separately as ITSM for Windows, by Springer-Verlag, 1994. It does not handle such large data sets as ITSM for Windows, but like the latter, runs on IBM-PC compatible computers under either DOS or Windows (version 3.1 or later). The programs are all menu-driven so that the reader can immediately apply the techniques in the book to time series data, with a minimal investment of time in the computational and algorithmic aspects of the analysis.
Download or read book Arch Bridges written by A. Sinopoli and published by CRC Press. This book was released on 2020-12-18 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern structural engineering surprises us with the mastery and certainty with which it plans and carries out daring projects, such as the most recent metal or concrete bridges, whether they be suspension or arch bridges. On the other hand, little is yet known about the state of knowledge of construction science and techniques which, well before the arrival of modern methods based on the mechanics of deformable continua, made it possible in the past to erect the vaulted masonry structures rthat we have inherited. The fact that these have lasted through many centuries to our time, and are still in a fairly good state of conservation, makes them competitive, as far as stability and durability are concerned, with those constructed in other materials. Although it is known that the equilibrium of the arch is guaranteed by any funicular whatsoever of the loads, contained inside the profile of an arch, finding the unique solution is not such a certainty. In other words, the problem of the equilibrium of vaulted structures is 'Poleni's problem', the one for which the Venetian scientist was able to give an exemplary solution on the occasion of the assessment of the dome of St. Peter's. Arch Bridges focuses on the main aspects of the debate about the masonry arch bridge: History of structural mechanics and construction, theoretical models, analysis for assessment, numerical methods, experimental and non-destructive testing, maintenance and repair are the topics of the Conference. The breadth and variety of the contributions presented and discussed by leading experts from many countries make this volume an authoritative source of up-to-date information.
Download or read book Arch 01 written by C. Abdunur and published by Presses des Ponts. This book was released on 2001 with total page 1024 pages. Available in PDF, EPUB and Kindle. Book excerpt: Les ponts en arc font actuellement face au double défi de protéger leur patrimoine et de rivaliser avec d'autres formes plus récentes de structures. La conservation des ponts en arc implique de multiples impératifs : une politique saine d'inspection et de suivi, des méthodes précises d'investigation, une évaluation fiable et un éventuel diagnostic, des moyens efficaces de maintenance, de réparation, de renforcement et d'élargissement. Pendant que des ouvrages existants sont réparés et revalorisés, de nouveaux ponts en arc, de -nies traditionnelles et à " l'échelle humaine ", continuent à se construire, en utilisant des matériaux et procédés améliorés et rentables, assurant longévité et respect de l'environnement. Au premier plan de cette continuité, les concepteurs des ponts en béton, dans les hémisphères Nord et Sud, s'efforcent avec succès de réaliser des portées en arc de plus en plus longues, frôlant les 400 mètres dans les années 1980. Récemment, sur d'autres sites spectaculaires, des records de portées ont été battus par trois ponts en arc respectivement en pierre, en béton, en tubes d'acier remplis de béton. Une telle avancée ne manquera pas d'inciter les ingénieurs à rechercher des formes d'arc encore plus audacieuses et élégantes. Sur le large éventail des thèmes proposés, de nombreux auteurs, de plus de vingt-cinq pays, ont apporté des contributions majeures rappelant que les ponts en arc n'ont rien perdu de leur actualité et que, malgré les leçons assimilées de leur prestigieux héritage, leur conception stimule toujours la créativité des ingénieurs et des architectes. Ces contributions sont réunies dans le présent volume édité à l'occasion de la Troisième Conférence internationale sur les Ponts en Arc, tenue à Paris en septembre 2001. Arch bridges face at present the double challenge of protecting their heritage and competing with other more recent structural forms. The conservation of the arch bridge heritage successively requires sound inspection and monitoring policies, accurate investigative methods, reliable assessment and eventual diagnosis, efficient means for maintenance, repair, strengthening and widening. While existing structures are being repaired and upgraded, new arch bridges, of traditional forms and on a "human scale", continue to be constructed, using improved and cost-effective materials and procedures, ensuring longevity and respect for the environment. In the forefront of this continuity, concrete bridge designers, in the northern and southern hemispheres, have successfully been striving for ever larger arch spans, closely approaching 400 m in the 1980's. Lately, at other spectacular sites, span records were beaten in three arch bridges respectively using stone, concrete and slender concrete-filled steel tubes. This breakthrough may encourage engineers to seek more daring and elegant forms of arch. On the broad spectrum of the suggested topics, numerous authors, from more than twenty-five countries, have recently offered major contributions, reminding that arch bridges have nothing lost of their appeal and that, for all the lessons learnt from their prestigious heritage, their design still simulates the creativity of engineers and architects. These contributions are put together in the present volume edited on the occasion of the Third International Arch Bridge Conference held in Paris in September 2001.
Download or read book Model Study of a Buried Arch Subjected to Dynamic Loading written by Robert K. Tener and published by . This book was released on 1964 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2008-05-22 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Download or read book ARCH written by Robert F. Engle and published by Oxford University Press, USA. This book was released on 1995 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the early 1980s, R. F. Engle pioneered the econometric technique of Auto-Regressive Conditional Heteroskedasticity (ARCH), which has subsequently generated a very considerable amount of literature. This collection brings together readings on ARCH models, both applied and theoretical, half by Engle himself and half by other econometricians working in the field. It begins with an introduction by the editor which traces the development of the field.
Download or read book Arch Dams written by Jose O. Pedro and published by Springer. This book was released on 2014-05-04 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume provides a comprehensive understanding of the modern criteria, models and methods of analysis of arch dams, for normal operation conditions and under exceptional loads. This information is important for all those involved in the evaluation of the behaviour and condition of arch dams and other large structures, either for design or monitoring purpose.
Download or read book Selecting the Order of an ARCH Model written by Anthony William Hughes and published by . This book was released on 1999-01-01 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Concrete Filled Steel Tubular Arch Bridges written by Baochun Chen and published by Springer Nature. This book was released on 2022-10-08 with total page 581 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the features of composite materials and arch structures. Providing an in-depth fundamental and practical guide to the field, it systemically addresses all aspects of concrete-filled steel tubular (CFST) arch bridges, including a comprehensive overview on technical developments, structural systems, structural detailing, design and analysis, construction technology, and maintenance. The real-world examples presented have been carefully selected to highlight the advanced theoretical and technological solutions for CFST arch bridges and to motivate researchers to promote innovative and sustainable development in the area. The book couples fundamental concepts with advanced practices translated from the third edition of the author’s Chinese book on CFST arch bridges, which has been the most significant book on the topic since the first edition published in 1999. This English translation can servers as an idea textbook for postgraduate students in the fields of civil, construction and environmental engineering, especially in bridge engineering, as well as a perfect review and reference guide for engineering practitioners and researchers.
Download or read book Arch Bridges written by Clive Melbourne and published by Thomas Telford. This book was released on 1995-04-07 with total page 712 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text brings together current knowledge on all aspects of bridge behaviour, covering developments in construction, design, analysis, repair and maintenance. Case histories are used to illustrate the methods used.
Download or read book Innovative Technology for 500 meter Scale Concrete Filled Steel Tubular Arch Bridge Construction written by Jielian Zheng and published by Springer Nature. This book was released on with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Principles of Econometrics written by R. Carter Hill and published by John Wiley & Sons. This book was released on 2018-02-21 with total page 1808 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Econometrics, Fifth Edition, is an introductory book for undergraduate students in economics and finance, as well as first-year graduate students in a variety of fields that include economics, finance, accounting, marketing, public policy, sociology, law, and political science. Students will gain a working knowledge of basic econometrics so they can apply modeling, estimation, inference, and forecasting techniques when working with real-world economic problems. Readers will also gain an understanding of econometrics that allows them to critically evaluate the results of others’ economic research and modeling, and that will serve as a foundation for further study of the field. This new edition of the highly-regarded econometrics text includes major revisions that both reorganize the content and present students with plentiful opportunities to practice what they have read in the form of chapter-end exercises.
Download or read book Computational Finance and Financial Econometrics written by Eric Zivot and published by CRC Press. This book was released on 2017-01-15 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents mathematical, programming and statistical tools used in the real world analysis and modeling of financial data. The tools are used to model asset returns, measure risk, and construct optimized portfolios using the open source R programming language and Microsoft Excel. The author explains how to build probability models for asset returns, to apply statistical techniques to evaluate if asset returns are normally distributed, to use Monte Carlo simulation and bootstrapping techniques to evaluate statistical models, and to use optimization methods to construct efficient portfolios.
