Download or read book Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility written by Christian Conrad and published by . This book was released on 2010 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight countries. We find this multivariate specification to be generally applicable once power, leverage and long-memory effects are taken into consideration. In addition, we find that both the optimal fractional differencing parameter and power transformation are remarkably similar across countries. Out-of-sample evidence for the superior forecasting ability of the multivariate FIAPARCH framework is provided in terms of forecast error statistics and tests for equal forecast accuracy of the various models.

Download or read book Modeling and Forecasting of Multivariate Stock Market Volatility written by Bastian Gribisch and published by . This book was released on 2013 with total page 183 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 Stock Market Volatility and Fractional Integration written by Yin-Wong Cheung and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Stock Market Volatility written by Peter H. Rossi and published by Elsevier. This book was released on 1996-11-19 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: This essay collection focuses on the relationship between continuous time models and Autoregressive Conditionally Heteroskedastic (ARCH) models and applications. For the first time, Modelling Stock Market Volatility provides new insights about the links between these two models and new work on practical estimation methods for continuous time models. Featuring the pioneering scholarship of Daniel Nelson, the text presents research about the discrete time model, continuous time limits and optimal filtering of ARCH models, and the specification and estimation of continuous time processes. This work will lead to a rapid growth in their empirical application as they are increasingly subjected to routine specification testing. Provides for the first time new insights on the links between continuous time and ARCH models Collects seminal scholarship by some of the most renowned researchers in finance and econometrics Captures complex arguments underlying the approximation and proper statistical modelling of continuous time volatility dynamics

Download or read book Financial Mathematics Volatility and Covariance Modelling written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Download or read book Modelling Long Memory in Stock Market Volatility written by Zacharias G. Psaradakis and published by . This book was released on 1995 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Non Linear Time Series written by Kamil Feridun Turkman and published by Springer. This book was released on 2014-09-29 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a useful combination of probabilistic and statistical tools for analyzing nonlinear time series. Key features of the book include a study of the extremal behavior of nonlinear time series and a comprehensive list of nonlinear models that address different aspects of nonlinearity. Several inferential methods, including quasi likelihood methods, sequential Markov Chain Monte Carlo Methods and particle filters, are also included so as to provide an overall view of the available tools for parameter estimation for nonlinear models. A chapter on integer time series models based on several thinning operations, which brings together all recent advances made in this area, is also included. Readers should have attended a prior course on linear time series, and a good grasp of simulation-based inferential methods is recommended. This book offers a valuable resource for second-year graduate students and researchers in statistics and other scientific areas who need a basic understanding of nonlinear time series.

Download or read book Multivariate Realized Stock Market Volatility written by Gregory H. Bauer and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asian Development Review written by Sir James Mirrlees and published by Asian Development Bank. This book was released on 2011-12-01 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Asian Development Review is a professional journal for disseminating the results of economic and development research carried out by staff and resource persons of the Asian Development Bank (ADB). The Review seeks high-quality papers with relevance to policy issues and operational matters done in an empirically-rigorous way. Articles are intended for readership among economists and social scientists in government, private sector, academia, and international organizations. In this issue---ADB Distinguished Speakers Program: Poverty and Redistribution in Emerging Economies; South-South FDI and Development in East Asia; Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors; Remittances and Household Expenditure Patterns in Tajikistan: A Propensity Score Matching Analysis; Industrial Deepening in Malaysia: Policy Lessons for Developing Countries; The Global Financial Crisis and Resilience of the Thai Banking Sector; Does East Asian Integration Keep Up with the European Pattern? Empirical Evidence from Intra-Industry Trade in Europe and East Asia.

Download or read book Multivariate volatility models and international stock market linkages written by Christian Sommerhage and published by . This book was released on 2004 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Multivariate Long Memory Stochastic Volatility Model with Applications to Financial Markets written by Susanna Wing Yan Kwok and published by . This book was released on 2001 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Energy Market and Energy Transition Dynamics and Prospects written by Xunpeng (Roc) Shi and published by Frontiers Media SA. This book was released on 2021-06-04 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Univariate and Multivariate GARCH Models written by Amine Guerouah and published by . This book was released on 2016 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this paper is to examine the relationship between stock and oil markets. In addition, we evaluate the performance of each model with a range of diagnostic and forecast performance tests using univariate GARCH(1,1) and bivariate BEKK GARCH(1,1) , DCC GARCH(1,1) models.

Download or read book Fractional Integration and Long Memory Models of Stock Price Volatility written by Jorge Claudio Cavalcante de Oliveira Lima and published by . This book was released on 2002 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Other possible explanations for the occurrence of long term persistence are also pursued such as the Regime Switching modelisation proposed first by Hamilton and Susnel (1994) with the SWARCH approach. Results show that this approach can bring another possible explanation for persistence, specially in economies like Brazil that, have very different regimes for the period covered in this study." --

Download or read book Long Memory in Stock Market Volatility and the Volatility in mean Effect written by Bent J. Christensen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Asymmetry and Nonlinearity in Forecasting Multivariate Stock Market Volatility written by Moritz Daniel Heiden and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: