Download or read book Periodic Stochastic Volatility and Fat Tails written by Ilias Tsiakas and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article provides a comprehensive analysis of the size and statistical significance of the day of the week, month of the year, and holiday effects in daily stock index returns and volatility. We employ data from the Dow Jones Industrial Average (DJIA), the Samp;P 500, the Samp;P MidCap 400, and the Samp;P SmallCap 600 in order to test whether the seasonal patterns of medium and small firms are similar to those of large firms. Using formal hypothesis tests based on bootstrapping, we demonstrate that there are more significant calendar effects in volatility than in expected returns, especially for the two large cap indices. More importantly, we introduce the periodic stochastic volatility (PSV) model for characterizing the observed seasonal patterns of daily financial market volatility. We analyze the interaction between seasonal heteroskedasticity and fat tails by comparing the performance of Gaussian PSV and fat-tailed PSVt specifications to the plain vanilla SV and SVt benchmarks. Consistent with our model-free results, we find strong evidence of seasonal periodicity in volatility, which essentially eliminates the need for a fat-tailed conditional distribution, and is robust to the exclusion of the crash of 1987 outliers.

Download or read book A Stochastic Volatility Model with Fat Tails Skewness and Leverage Effects written by Daniel R. Smith and published by . This book was released on 2007 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new stochastic volatility model that captures the three most important features of stock index returns: negative correlation between returns and future volatility, excess kurtosis and negative skewness. We estimate the model parameters by maximum likelihood using a numerical integration-based filter to deal with the latent nature of volatility. In this approach different models are defined by varying the joint density of returns and future volatility conditional on current volatility. Our innovation is to construct the joint conditional density using a copula. This approach is tremendously flexible and allows the econometrician to choose the marginal distribution of both returns and volatility independently and then stitch them together using a copula, which is also chosen independently, to form the joint density. We also develop conditional moment-based model specification tests for the extent to which the various stochastic volatility models are able to capture the skewness and excess kurtosis we observe in practice. The parameter estimates and conditional moment tests indicate that leverage effects, excess kurtosis and skewness are all crucial for modeling stock returns.

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 Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-05-30 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing.*Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods *Insights within this volume can be applied to economics, finance and marketing disciplines

Download or read book Statistical Modelling and Regression Structures written by Thomas Kneib and published by Springer Science & Business Media. This book was released on 2010-01-12 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: The contributions collected in this book have been written by well-known statisticians to acknowledge Ludwig Fahrmeir's far-reaching impact on Statistics as a science, while celebrating his 65th birthday. The contributions cover broad areas of contemporary statistical model building, including semiparametric and geoadditive regression, Bayesian inference in complex regression models, time series modelling, statistical regularization, graphical models and stochastic volatility models.

Download or read book Time Series Analysis by State Space Methods written by James Durbin and published by Oxford University Press. This book was released on 2012-05-03 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a comprehensive treatment of the state space approach to time series analysis. A distinguishing feature of state space time series models is that observations are regarded as made up of distinct components, which are each modelled separately.

Download or read book Regime Switching Stochastic Volatility with Skew Fat Tails and Leverage Using Returns and Realized Volatility Contemporaneously written by Sebastian Trojan and published by . This book was released on 2013 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Macrofinancial Risk Analysis written by Dale Gray and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.

Download or read book Bayesian Statistical Modelling written by Peter Congdon and published by John Wiley & Sons. This book was released on 2007-04-04 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian methods combine the evidence from the data at hand with previous quantitative knowledge to analyse practical problems in a wide range of areas. The calculations were previously complex, but it is now possible to routinely apply Bayesian methods due to advances in computing technology and the use of new sampling methods for estimating parameters. Such developments together with the availability of freeware such as WINBUGS and R have facilitated a rapid growth in the use of Bayesian methods, allowing their application in many scientific disciplines, including applied statistics, public health research, medical science, the social sciences and economics. Following the success of the first edition, this reworked and updated book provides an accessible approach to Bayesian computing and analysis, with an emphasis on the principles of prior selection, identification and the interpretation of real data sets. The second edition: Provides an integrated presentation of theory, examples, applications and computer algorithms. Discusses the role of Markov Chain Monte Carlo methods in computing and estimation. Includes a wide range of interdisciplinary applications, and a large selection of worked examples from the health and social sciences. Features a comprehensive range of methodologies and modelling techniques, and examines model fitting in practice using Bayesian principles. Provides exercises designed to help reinforce the reader’s knowledge and a supplementary website containing data sets and relevant programs. Bayesian Statistical Modelling is ideal for researchers in applied statistics, medical science, public health and the social sciences, who will benefit greatly from the examples and applications featured. The book will also appeal to graduate students of applied statistics, data analysis and Bayesian methods, and will provide a great source of reference for both researchers and students. Praise for the First Edition: “It is a remarkable achievement to have carried out such a range of analysis on such a range of data sets. I found this book comprehensive and stimulating, and was thoroughly impressed with both the depth and the range of the discussions it contains.” – ISI - Short Book Reviews “This is an excellent introductory book on Bayesian modelling techniques and data analysis” – Biometrics “The book fills an important niche in the statistical literature and should be a very valuable resource for students and professionals who are utilizing Bayesian methods.” – Journal of Mathematical Psychology

Download or read book The NIG S ARCH Model written by and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Understanding Market Credit and Operational Risk written by Linda Allen and published by John Wiley & Sons. This book was released on 2009-02-04 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.

Download or read book Stochastic volatility models written by Roman Liesenfeld and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Volatility and Jumps in Interest Rates written by Ren-Raw Chen and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine possible stochastic volatility and jumps in short-term interest rates for four major countries: US, UK, Germany and Japan. An econometric model with stochastic volatility and jumps in both rates and volatility is derived and fit to the daily data for futures interest rates in four major currencies and the model provides a better fit for the empirical distributions. The distributions for changes in Eurocurrency interest rate futures are leptokurtic with fat tails and an unusually large percentage of observations concentrated at zero. The implied volatilities for at-the-money options on interest rate futures reveal evidence of stochastic volatility, as well as jumps in volatility.

Download or read book Introductory Econometrics for Finance written by Chris Brooks and published by Cambridge University Press. This book was released on 2014-05-08 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: The only econometrics textbook written specifically for finance students with no prior knowledge of econometrics, including extensive online student support.

Download or read book Stochastic Volatility and Tail Behavior Modelling with Applications to VaR written by Robert F. Cronin and published by . This book was released on 2009 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: