Download or read book Two Essays on Time series Patterns in Security Returns written by David Kenji Heike and published by . This book was released on 1997 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book American Doctoral Dissertations written by and published by . This book was released on 1998 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Proceedings American Philosophical Society vol 142 no 3 1998 written by and published by American Philosophical Society. This book was released on with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cross autocorrelations in Security Returns and Their Relationships with Seasonal Patterns in Security Returns and Firm specific Forecasting Variables written by Eric James Higgins and published by . This book was released on 1996 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Download or read book Essays on Time Series Analysis written by Yanlin Shi and published by . This book was released on 2014 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is a collection of essays on modelling volatility with time series techniques. The first essay addresses the question of modelling structural breaks in the Fractionally Integrated Generalised Autoregressive Conditional Heteroskedasticity (FIGARCH) model. By detecting structural change points via the Markov Regime-Switching (MRS) framework, a two-stage Three-State FIGARCH (3S-FIGARCH) model is proposed. Compared with various existing FIGARCH family models, our empirical results suggest that the 3S-FIGARCH model is preferred in all cases and can potentially provide a more reliable estimate of the long-memory parameter. The second essay examines the confusion between long memory and regime switching in volatility via a set of Monte Carlo simulations. A theoretical proof is provided to show that this confusion is caused by the effects of the smoothing probability from the data-generating process (DGP) of the MRS-GARCH model. To control for these effects, the MRS-FIGARCH model is proposed. By conducting a set of Monte Carlo simulations, we show that the MRS-FIGARCH model can effectively distinguish between the pure FIGARCH and pure MRS-GARCH DGPs. Further, an empirical application suggests that the MRS-FIGARCH can be a widely useful tool for volatility modelling. The third essay empirically studies the relation between public information arrivals and intraday stock return volatility. Motivated by the Mixture of Distribution Hypothesis (MDH) and the study of Veronesi (1999), we fit hourly Standard & Poor's (S&P) 100 stock return data with the MRS-GARCH model to investigate the effect of the quantity and quality of news on stock return volatility in the calm (low volatility) and turbulent (high volatility) states. The effect of news on the persistence and magnitude of volatility depends on the quality of news and the state of stock return volatility. In addition, this effect varies across sectors and firm sizes. The fourth essay analyses the effects of news on the so-called 'idiosyncratic volatility puzzle'. By empirically modelling the stock return data from the Center for Research in Security Prices (CRSP) database from 2000 to 2011, we demonstrate that both the quantity and quality of news can significantly explain the effect of idiosyncratic volatility on excess returns. Specifically, when news effects are appropriately controlled, the average magnitude of this effect can be reduced by roughly 50 per cent.
Download or read book Proceedings written by and published by . This book was released on 1993 with total page 902 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Time Series Analysis in the Frequency Domain written by Jingxian Zheng and published by . This book was released on 2013 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: In financial markets, economic relations can change abruptly as the result of rapid market reactions to exogenous shocks, or, alternatively, change gradually over a long time span incorporating various activities and responses from multiple market participants at different points in time. Studies on financial contagion concentrate on such changes in interdependence relations among economies, industries, or institutions. These changes in interdependence can be measured by the instabilities in the covariance structure of two asset returns, which consists of the contemporary covariance and all lag orders of the crossautocovariances. By Fourier Transform, a spectral density function contains equivalent information as covariance function. Therefore, any changes in the covariance structure can be capture by changes in the spectral density function. In the first chapter, Detection of Abrupt Structural Changes: A Spectral Approach, I propose a spectrum-based estimator to detect abrupt changes in the covariance structures. In this approach, detecting these abrupt changes is equivalent to locating the step discontinuities in the time-varying spectral densities and cross-spectral density. The estimator can then be implemented based on a comparison of the left and right limit spectra of the potential time spot. This method brings together and improves upon two strands of the literature on structural changes. Compared to the existing estimators in the structural break literature which mainly consider structural changes as discrete level shifts in an observation period, my method is more general in allowing occasional breaks to occur in a smooth change circumstance approximated by locally stationary processes, thus subsuming level shifts as a special case. My method also extends the literature that focuses on smooth changes approximated by local stationarity by relaxing the assumption of continuity and by introducing abrupt changes. I empirically apply the estimator to pairs of index returns in the subprime mortgage, stock, and bond markets during the 2007 subprime crisis and the 2008 global financial crisis. The empirical results show that during the crises, abrupt changes are apt to be but not necessarily triggered by specific shocking events. Moreover, most of the changes in the dependence structures of index returns are closely related to the changes in the marginal covariance structures of the returns. However, not all of the changes in marginal covariance structures lead to changes in the cross-covariance structures. The detection method is adopted in the second chapter, Post-Crisis Global Liquidity and Financial Spillover: From U.S. to Emerging Markets. This paper empirically investigates the linkages between U.S. markets and emerging markets to identify the global liquidity and financial spillover after the 2008 global financial crisis. A two-step method is adopted to capture dynamic patterns and structural changes in the linkages between the bond and stock markets in U.S. and BRICS. The results show that most abrupt changes in the U.S. and BRICS markets were due to specific shocking events in the U.S. markets and the abrupt changes were globally synchronous after the global financial crisis. Furthermore, there was a temporary liquidity spillover from U.S. to some of the emerging markets, as the U.S. Federal Reserve implemented the second round of quantitative easing. Overall, the lead effects of the U.S. bond and equity markets were much more significant than the spillover effect of the U.S. liquidity. Thus the financial spillover was more likely through the correlated-information channel than the liquidity channel. The third chapter, Generalized Spectral Estimation of Time Series Conditional Moment Restriction Models with Infinite Dimensional Conditioning Set, is coauthored with Zhaogang Song. We propose a generalized spectral estimator via frequency domain methods for a class of time series models. This class of time series models is defined by conditional moment restrictions with infinite dimensional conditioning set. The framework is general enough to cover most models which can be represented by conditional moment restrictions as special cases, including IV, nonlinear dynamic regression models, and rational expectations models such as consumption based asset pricing models(CCAPM). The estimator is obtained by minimizing the Cramr-Von Mises distance between the unrestricted generalized spectral distribution function and the model-implied correspondent, which is equivalent to setting a pairwise nonlinear dependence measure as close as possible to zero for each time lag order. It can be understood as a GMM estimator based on a set of moment conditions which grow with sample size. Not only is the infinite dimensional conditioning information is embedded in this estimator, but also the nonlinear dependence is captured. Another feature is the simplicity since its implementation does not require selecting any user-chosen number. Simulation studies show that unlike existing estimators which can only deal with either linear dependence or a fixed finite number of conditioning variables separately instead of simultaneously, our proposed estimator are free of any identification problem as expected by incorporating both nonlinear dependence and infinite dimensional conditioning information. An empirical application for estimating CCAPM is conducted and we find that economic agents are much more risk-averse according to our estimator than what Hansen and Singleton's(1982) GMM estimation results imply.
Download or read book Analysis of Financial Time Series written by Ruey S. Tsay and published by Wiley-Interscience. This book was released on 2001-11-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. Timely topics and recent results include: Value at Risk (VaR) High-frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed-form formulas VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process Multivariate volatility models with time-varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.
Download or read book Proceedings of the Second International Conference on Computing Communication Security and Intelligent Systems written by Shahid Mumtaz and published by Springer Nature. This book was released on with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Economic Uncertainty Instabilities And Asset Bubbles Selected Essays written by Anastasios G Malliaris and published by World Scientific. This book was released on 2005-10-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.
Download or read book The Economics of International Security written by Manas Chatterji and published by Springer. This book was released on 2016-07-27 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this book is to present an integrated set of original papers from leading authorities in the field related to optimal balance between arms reduction and regional and international security. The emphasis is on economics and management rather than politics and diplomacy.
Download or read book Analysis of Financial Time Series written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2010-10-26 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.
Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
Download or read book Three Essays in Finance written by Jiang Luo and published by . This book was released on 2001 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Two Essays on Modeling Financial Markets as Complex and Interactive Systems written by Yoonjung Lee and published by . This book was released on 2004 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
