Download or read book Contemporaneous Aggregation of GARCH Processes written by Paolo Zaffaroni and published by . This book was released on 2000 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book GARCH Models written by Christian Francq and published by John Wiley & Sons. This book was released on 2011-06-24 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
Download or read book Long Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Download or read book Handbook of HydroInformatics written by Saeid Eslamian and published by Elsevier. This book was released on 2022-11-30 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classic Soft-Computing Techniques is the first volume of the three, in the Handbook of HydroInformatics series.? Through this comprehensive, 34-chapters work, the contributors explore the difference between traditional computing, also known as hard computing, and soft computing, which is based on the importance given to issues like precision, certainty and rigor. The chapters go on to define fundamentally classic soft-computing techniques such as Artificial Neural Network, Fuzzy Logic, Genetic Algorithm, Supporting Vector Machine, Ant-Colony Based Simulation, Bat Algorithm, Decision Tree Algorithm, Firefly Algorithm, Fish Habitat Analysis, Game Theory, Hybrid Cuckoo–Harmony Search Algorithm, Honey-Bee Mating Optimization, Imperialist Competitive Algorithm, Relevance Vector Machine, etc.?It is a fully comprehensive handbook providing all the information needed around classic soft-computing techniques. This volume is a true interdisciplinary work, and the audience includes postgraduates and early career researchers interested in Computer Science, Mathematical Science, Applied Science, Earth and Geoscience, Geography, Civil Engineering, Engineering, Water Science, Atmospheric Science, Social Science, Environment Science, Natural Resources, and Chemical Engineering. - Key insights from global contributors in the fields of data management research, climate change and resilience, insufficient data problem, etc. - Offers applied examples and case studies in each chapter, providing the reader with real world scenarios for comparison. - Introduces classic soft-computing techniques, necessary for a range of disciplines.
Download or read book Financial Modeling Under Non Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Download or read book The Econometric Analysis of Seasonal Time Series written by Eric Ghysels and published by Cambridge University Press. This book was released on 2001-06-18 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eric Ghysels and Denise R. Osborn provide a thorough and timely review of the recent developments in the econometric analysis of seasonal economic time series, summarizing a decade of theoretical advances in the area. The authors discuss the asymptotic distribution theory for linear nonstationary seasonal stochastic processes. They also cover the latest contributions to the theory and practice of seasonal adjustment, together with its implications for estimation and hypothesis testing. Moreover, a comprehensive analysis of periodic models is provided, including stationary and nonstationary cases. The book concludes with a discussion of some nonlinear seasonal and periodic models. The treatment is designed for an audience of researchers and advanced graduate students.
Download or read book Econometric Analysis of Financial Markets written by Jürgen Kaehler and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of papers represents the state of the art in the applicationof recent econometric methods to the analysis of financial markets. From a methodological point of view the main emphasis is on cointegration analysis and ARCH modelling. In cointegration analysis the links between long-runcomponents of time series are studied. The methods used can be applied to the determination of equilibrium relationships between the variables, whereas ARCH models are concerned with the measurement and analysis of changing variances in time series. These econometric models have been the most significant innovations for the empirical analysis of financial time series in recent years. Other econometric methods and models applied in the papers include factor analysis, vector autoregressions, and Markov-switching models. The papers cover a wide range of issues and theories in financial and international economics: the term structure ofinterest rates, exchange-rate determination, target-zone dynamics, stock-market efficiency, and option pricing.
Download or read book Statistical Methods in Finance written by G. S. Maddala and published by . This book was released on 1996-12-11 with total page 760 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.
Download or read book Journal of Econometrics written by and published by . This book was released on 2001 with total page 822 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Memory in Economics written by Gilles Teyssière and published by Springer Science & Business Media. This book was released on 2006-09-22 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; and models from economic theory providing plausible micro foundations for the occurrence of long memory in economics.
Download or read book Theory and Applications of Long Range Dependence written by Paul Doukhan and published by Springer Science & Business Media. This book was released on 2002-12-13 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simplified and has greatly affected such areas as finance and telecommunications. Even non-specialists try to analyze data sets and ask basic questions about their structure. One such question is whether one observes some type of invariance with respect to scale, a question that is closely related to the existence of long-range dependence in the data. This important topic of long-range dependence is the focus of this unique work, written by a number of specialists on the subject. The topics selected should give a good overview from the probabilistic and statistical perspective. Included will be articles on fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, and prediction for long-range dependence sequences. For those graduate students and researchers who want to use the methodology and need to know the "tricks of the trade," there will be a special section called "Mathematical Techniques." Topics in the first part of the book are covered from probabilistic and statistical perspectives and include fractional Brownian motion, models, inequalities and limit theorems, periodic long-range dependence, parametric, semiparametric, and non-parametric estimation, long-memory stochastic volatility models, robust estimation, prediction for long-range dependence sequences. The reader is referred to more detailed proofs if already found in the literature. The last part of the book is devoted to applications in the areas of simulation, estimation and wavelet techniques, traffic in computer networks, econometry and finance, multifractal models, and hydrology. Diagrams and illustrations enhance the presentation. Each article begins with introductory background material and is accessible to mathematicians, a variety of practitioners, and graduate students. The work serves as a state-of-the art reference or graduate seminar text.
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
Download or read book Preferences and Decisions written by Salvatore Greco and published by Springer Science & Business Media. This book was released on 2010-10-05 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision making is an omnipresent, most crucial activity of the human being, and also of virtually all artificial broadly perceived “intelligent” systems that try to mimic human behavior, reasoning and choice processes. It is quite obvious that such a relevance of decision making had triggered vast research effort on its very essence, and attempts to develop tools and techniques which would make it possible to somehow mimic human decision making related acts, even to automate decision making processes that had been so far reserved for the human beings. The roots of those attempts at a scientific analysis can be traced to the ancient times but – clearly – they have gained momentum in the recent 50 or 100 years following a general boom in science. Depending on the field of science, decision making can be viewed in different ways. The most general view can be that decision making boils down to some cognitive, mental process(es) that lead to the selection of an option or a course of action among several alternatives. Then, looking in a deeper way, from a psychological perspective this process proceeds in the context of a set of needs, preferences, rational choice of an individual, a group of individuals, or even an organization. From a cognitive perspective, the decision making process proceeds in the context of various interactions with the environment.
Download or read book Linear Models and Time Series Analysis written by Marc S. Paolella and published by John Wiley & Sons. This book was released on 2018-10-10 with total page 900 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.
Download or read book Handbook of Multi Commodity Markets and Products written by Andrea Roncoroni and published by John Wiley & Sons. This book was released on 2015-02-19 with total page 1076 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
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
Download or read book Temporal Aggregation of Univariate and Multivariate Time Series Models written by Andrea Silvestrini and published by . This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
