Download or read book Good Jumps Bad Jumps and Conditional Equity Premium written by Hui Guo and published by . This book was released on 2019 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We uncover significant asymmetric effects of realized jump risks on conditional equity premium. Negative or ``bad'' (positive or ``good'') jumps predict a rising (falling) near-term equity premium. The signed jump risk measures remain statistically significant even when we control for the variance risk premium. Negative jumps are associated with the worsening of future economic fundamentals while unrelated to short-term liquidity or market reversal. Our novel empirical findings are consistent with an asset pricing model allowing for both time-varying jump intensity and stochastic volatility of volatility to jointly affect the variance risk premium and conditional equity premium.
Download or read book Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data written by Norman R. Swanson and published by MDPI. This book was released on 2021-08-31 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
Download or read book Economics of Accounting written by Peter Ove Christensen and published by Springer Science & Business Media. This book was released on 2006-03-30 with total page 675 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an integrated, technical exposition of key concepts in agency theory, with particular emphasis on analyses of the economic consequences of the characteristics of contractible performance measures, such as accounting reports. It provides a succinct source for learning the fundamentals of the economics of incentives. It will appeal to accounting researchers as well as those in other disciplines who are interested in the economics of management incentives.
Download or read book A Jump diffusion Consumption based Capital Asset Pricing Model and the Equity Premium Puzzle written by Knut Kristian Aase and published by . This book was released on 1992 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Download or read book Live Stock Journal written by and published by . This book was released on 1893 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book General Equilibrium Option Pricing Method Theoretical and Empirical Study written by Jian Chen and published by Springer. This book was released on 2018-04-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Download or read book Missing Data Methods written by David M. Drukker and published by Emerald Group Publishing. This book was released on 2011-11-30 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.
Download or read book Nonparametric Econometric Methods and Application written by Thanasis Stengos and published by MDPI. This book was released on 2019-05-20 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present Special Issue collects a number of new contributions both at the theoretical level and in terms of applications in the areas of nonparametric and semiparametric econometric methods. In particular, this collection of papers that cover areas such as developments in local smoothing techniques, splines, series estimators, and wavelets will add to the existing rich literature on these subjects and enhance our ability to use data to test economic hypotheses in a variety of fields, such as financial economics, microeconomics, macroeconomics, labor economics, and economic growth, to name a few.
Download or read book Econophysics and Capital Asset Pricing written by James Ming Chen and published by Springer. This book was released on 2017-10-04 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.
Download or read book Lifecycle Investing written by Ian Ayres and published by ReadHowYouWant.com. This book was released on 2010-05 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Jumping Off Swings written by Jo Knowles and published by Candlewick Press. This book was released on 2010-03-16 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: One pregnancy. Four friends. It all adds up to a profound time of change in this poignant, sensitively written YA novel. (Age 14 and up) Ellie remembers how the boys kissed her. Touched her. How they begged for more. And when she gave it to them, she felt loved. For a while anyway. So when Josh, an eager virgin with a troubled home life, leads her from a party to the backseat of his van, Ellie follows. But their "one-time thing" is far from perfect: Ellie gets pregnant. Josh reacts with shame and heartbreak, while their confidantes, Caleb and Corinne, deal with their own complex swirl of emotions. No matter what Ellie chooses, all four teenagers will be forced to grow up a little faster as a result. Told alternately from each character’s point of view, this deeply insightful novel explores the aftershocks of the biggest decision of one fragile girl’s life -- and the realities of leaving innocence behind.
Download or read book Complete Book of Jumps written by Ed Jacoby and published by Human Kinetics Publishers. This book was released on 1995 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maximize your jumping potential with Complete Book of Jumps! Coaches Ed Jacoby and Bob Fraley draw on their combined 60 years of coaching experience to help long jumpers, triple jumpers, high jumpers, and pole vaulters achieve new personal records. They break down each event into key phases - from approach to landing - to teach proper jumping technique and to show jumpers how to avoid common technical flaws. They also provide a strength and development program specifically for jumpers and 16 event-specific workouts that fine-tune skills. Use the practical, proven techniques in Complete Book of Jumps to go higher and farther than the competition.
Download or read book Jumping the S curve written by Paul Nunes and published by Harvard Business Press. This book was released on 2011 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: Becoming worthy of the efforts and commitment of serious talent. --
Download or read book Jumping the Nail written by Eve Bunting and published by Houghton Mifflin Harcourt. This book was released on 1993-05 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: YA. The jumping place was called the Nail and it was ninety feet from the top of the cliff to the water below.
Download or read book 101 Jumping Exercises for Horse Rider written by Linda Allen and published by Storey Publishing, LLC. This book was released on 2010-06-24 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get jumping! This collection presents a logical series of fun and rewarding exercises that are designed to develop your horse-jumping skills. With straightforward instructions and clear arena maps, this guide can be hung on a pole and easily referenced from the saddle. In addition to clearly articulated goals and progressively difficult variations, each exercise also includes encouraging advice on what the rider should keep in mind while jumping. Saddle up and get ready to fly through the air with grace and confidence.
