Download or read book Temporal Aggregation of ARCH Processes and the Distribution of Asset Returns written by Francis X. Diebold and published by . This book was released on 1986 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Modeling of Exchange Rate Dynamics written by Francis X. Diebold and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Download or read book Journal of Econometrics written by and published by . This book was released on 1989 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Practical Guide to Heavy Tails written by Robert Adler and published by Springer Science & Business Media. This book was released on 1998-10-26 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR
Download or read book Heavy Tails in High Frequency Financial Data written by Michel M. Dacorogna and published by . This book was released on 1997 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We perform a tail index estimation of financial asset returns in two markets: the foreign exchange market and the interbank market of cash interest rates. Thanks to the high-frequency of the data, we obtain good estimates of the tail indices and we are able to analyze their stability with time aggregation. Our analysis confirms that the variance of the return is finite but points to the non-convergence of the kurtosis. Both financial markets present similar tail behavior of the returns. A study of the extreme risks reveals the need to depart from the Gaussian assumption by taking the fat tails fully into account. A study of tails under temporal aggregation, also investigating data from theoretical price formation processes, shows that ARCH-type processes represent the true behavior better than unconditional distribution models.
Download or read book The Investigation of Volatility in GARCH written by Che-Hsiung Ted Hong and published by . This book was released on 1988 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quarterly Journal of Business and Economics written by and published by . This book was released on 2003 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Review of Futures Markets written by and published by . This book was released on 1994 with total page 1274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on International Finance written by Keun Yeong Lee and published by . This book was released on 1993 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Review of Research in Futures Markets written by and published by . This book was released on 1992 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consists of the proceedings of seminars on futures markets held by the Chicago Board of Trade.
Download or read book Special Studies Paper written by Board of Governors of the Federal Reserve System (U.S.) and published by . This book was released on 1987 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fat Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by Wiley. This book was released on 2005-09-15 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Download or read book The Out of sample Forecasting Performance of Exchange Rate Models when Coefficients are Allowed to Change written by Garry J. Schinasi and published by . This book was released on 1987 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Minimum Variance Pooling of Forecasts at Different Levels of Aggregation written by Jeffrey C. Fuhrer and published by . This book was released on 1987 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Dynamics of Exchange Rate Volatility written by Francis X. Diebold and published by . This book was released on 1986 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Bank of Japan Monetary and Economic Studies written by and published by . This book was released on 1988 with total page 662 pages. Available in PDF, EPUB and Kindle. Book excerpt:
