Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.

Download or read book High Frequency Financial Econometrics written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2007-12-31 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Download or read book Market Risk Analysis Practical Financial Econometrics written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-05-27 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Download or read book Modelling Irregularly Spaced Financial Data written by Nikolaus Hautsch and published by Springer Science & Business Media. This book was released on 2011-01-07 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.

Download or read book Market Risk Analysis Boxset written by Carol Alexander and published by John Wiley & Sons. This book was released on 2009-02-24 with total page 1691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.

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.

Download or read book Income Elasticity and Economic Development written by M. Ohidul Haque and published by Springer Science & Business Media. This book was released on 2005-08-23 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is mainly concerned with methods of estimating income elasticity. It is connected with economic development that can be achieved by reducing income inequality, a highly relevant subject in today’s world for a wide range of policy areas.

Download or read book The Measurement of Economic Relationships written by Peter Tryfos and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Astranger in academia cannot but be impressed by the apparent uniformity and precision of the methodology currently applied to the measurement of economic relationships. In scores of journal articles and other studies, a theoretical argument is typically presented to justify the position that a certain variable is related to certain other, possibly causal, variables. Regression or a related method is applied to a set of observations on these variables, and the conclusion often emerges that the causa,l variables are indeed "significant" at a certain "level," thereby lending support to the theoretical argument-an argument presumably formulated independently of the observations. A variable may be declared significant (and few doubt that this does not mean important) at, say, the 0. 05 level, but not the 0. 01. The effects of the variables are calculated to many significant digits, and are often accompanied by intervals and forecasts of not quite obvious meaning but certainly of reassuring "confidence. " The uniformity is also evident in the many mathematically advanced text books of statistics and econometrics, and in their less rigorous introductory versions for students in economics or business. It is reflected in the tools of the profession: computer programs, from the generaiones addressed to the incidental researcher to the dedicated and sophisticated programs used by the experts, display the same terms and implement the same methodology. In short, there appears no visible alternative to the established methodol ogy and no sign of reservat ions concerning its validity.

Download or read book Econometric Analysis of Intra daily Trading Activity on Tokyo Stock Exchange written by Luc Bauwens and published by . This book was released on 2005 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Hidden Markov Models written by Ramaprasad Bhar and published by Springer Science & Business Media. This book was released on 2006-04-18 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas of social science research as well. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics. As such we only cover the necessary theoretical aspects in each chapter while focusing on real life applications using contemporary data mainly from OECD group of countries. The underlying assumption here is that the researchers in financial economics would be familiar with such application although empirical techniques would be more traditional econometrics. Keeping the application level in a more familiar level, we focus on the methodology based on hidden Markov processes. This will, we believe, help the reader to develop more in-depth understanding of the modeling issues thereby benefiting their future research.

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 The Econometrics of Individual Risk written by Christian Gourieroux and published by Princeton University Press. This book was released on 2015-07-28 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.

Download or read book Information Spillover Effect and Autoregressive Conditional Duration Models written by Xiangli Liu and published by Routledge. This book was released on 2014-07-11 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.

Download or read book Handbook of Computational Statistics written by James E. Gentle and published by Springer Science & Business Media. This book was released on 2012-07-06 with total page 1180 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Computational Statistics - Concepts and Methods (second edition) is a revision of the first edition published in 2004, and contains additional comments and updated information on the existing chapters, as well as three new chapters addressing recent work in the field of computational statistics. This new edition is divided into 4 parts in the same way as the first edition. It begins with "How Computational Statistics became the backbone of modern data science" (Ch.1): an overview of the field of Computational Statistics, how it emerged as a separate discipline, and how its own development mirrored that of hardware and software, including a discussion of current active research. The second part (Chs. 2 - 15) presents several topics in the supporting field of statistical computing. Emphasis is placed on the need for fast and accurate numerical algorithms, and some of the basic methodologies for transformation, database handling, high-dimensional data and graphics treatment are discussed. The third part (Chs. 16 - 33) focuses on statistical methodology. Special attention is given to smoothing, iterative procedures, simulation and visualization of multivariate data. Lastly, a set of selected applications (Chs. 34 - 38) like Bioinformatics, Medical Imaging, Finance, Econometrics and Network Intrusion Detection highlight the usefulness of computational statistics in real-world applications.

Download or read book Advances in Artificial Economics written by Frédéric Amblard and published by Springer. This book was released on 2014-11-08 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: ​The book presents a peer-reviewed collection of papers presented during the 10th issue of the Artificial Economics conference, addressing a variety of issues related to macroeconomics, industrial organization, networks, management and finance, as well as purely methodological issues. The field of artificial economics covers a broad range of methodologies relying on computer simulations in order to model and study the complexity of economic and social phenomena. The grounding principle of artificial economics is the analysis of aggregate properties of simulated systems populated by interacting adaptive agents that are equipped with heterogeneous individual behavioral rules. These macroscopic properties are neither foreseen nor intended by the artificial agents but generated collectively by them. They are emerging characteristics of such artificially simulated systems.

Download or read book Advances in Time Series Methods and Applications written by Wai Keung Li and published by Springer. This book was released on 2016-12-02 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume reviews and summarizes some of A. I. McLeod's significant contributions to time series analysis. It also contains original contributions to the field and to related areas by participants of the festschrift held in June 2014 and friends of Dr. McLeod. Covering a diverse range of state-of-the-art topics, this volume well balances applied and theoretical research across fourteen contributions by experts in the field. It will be of interest to researchers and practitioners in time series, econometricians, and graduate students in time series or econometrics, as well as environmental statisticians, data scientists, statisticians interested in graphical models, and researchers in quantitative risk management.

Download or read book Estimating Trade Elasticities written by Jaime Marquez and published by Springer Science & Business Media. This book was released on 2002-08-31 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis starts with the practical implications of optimizing behavior for estimation and it follows with a re-examination of the puzzling income elasticity for US imports that three decades of studies have not resolved. The analysis then turns to the study of the role of income and prices in determining the expansion in Asian trade, a study largely neglected in fifty years of research.