Download or read book Exponential Smoothing Long Memory and Volatility Prediction written by Tommaso Proietti and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Realised Volatility Using a Long Memory Stochastic Volatility Model written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Localized and Long Memory Approaches to Forecasting Market Volatility written by Anatoly Nigmatulin and published by . This book was released on 2011 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility and Time Series Econometrics written by Mark Watson and published by Oxford University Press. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Download or read book A Source of Long Memory in Volatility written by Namwon Hyung and published by . This book was released on 2006 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Series Forecasting written by Chris Chatfield and published by CRC Press. This book was released on 2000-10-25 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the author of the bestselling "Analysis of Time Series," Time-Series Forecasting offers a comprehensive, up-to-date review of forecasting methods. It provides a summary of time-series modelling procedures, followed by a brief catalogue of many different time-series forecasting methods, ranging from ad-hoc methods through ARIMA and state-space
Download or read book Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility written by Kyongwook Choi and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the possibility of structural breaks in the daily realized volatility of the Deutschemark/Dollar, Yen/Dollar and Yen/Deutschemark spot exchange rates with observed long-memory behavior. We find that structural breaks in the mean can partly explain the persistence of realized volatility. We propose a VAR-RV-Break model that provides superior predictive ability when the timing of future breaks is known. With unknown break dates and sizes, we find that a VAR-RV-I(d) long memory model provides a robust forecasting method even when the true financial volatility series are generated by structural breaks.
Download or read book Long Memory Time Series written by Wilfredo Palma and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: A self-contained, contemporary treatment of the analysis of long-range dependent data Long-Memory Time Series: Theory and Methods provides an overview of the theory and methods developed to deal with long-range dependent data and describes the applications of these methodologies to real-life time series. Systematically organized, it begins with the foundational essentials, proceeds to the analysis of methodological aspects (Estimation Methods, Asymptotic Theory, Heteroskedastic Models, Transformations, Bayesian Methods, and Prediction), and then extends these techniques to more complex data structures. To facilitate understanding, the book: Assumes a basic knowledge of calculus and linear algebra and explains the more advanced statistical and mathematical concepts Features numerous examples that accelerate understanding and illustrate various consequences of the theoretical results Proves all theoretical results (theorems, lemmas, corollaries, etc.) or refers readers to resources with further demonstration Includes detailed analyses of computational aspects related to the implementation of the methodologies described, including algorithm efficiency, arithmetic complexity, CPU times, and more Includes proposed problems at the end of each chapter to help readers solidify their understanding and practice their skills A valuable real-world reference for researchers and practitioners in time series analysis, economerics, finance, and related fields, this book is also excellent for a beginning graduate-level course in long-memory processes or as a supplemental textbook for those studying advanced statistics, mathematics, economics, finance, engineering, or physics. A companion Web site is available for readers to access the S-Plus and R data sets used within the text.
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Download or read book Volatility Persistence Long Memory and Time Varying Unconditional Mean written by David G. McMillan and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines evidence of volatility persistence and long memory in the light of potential time-variation in the unconditional mean of the volatility series. Daily equity volatility is generally regarded as exhibiting long memory, however, recent evidence has suggested that long memory may be a spurious finding arising from neglected breaks or time-variation in unconditional variance. The results presented here suggested that long memory is apparent when analysed on the assumption that unconditional variance is constant. However, both breakpoint tests and a moving average application suggest that unconditional variance exhibits substantial, although slow moving, time-variation. The apparent long memory property largely disappears when this time-variation is taken into account. A modification of the GARCH model to allow for mean variation generates improved volatility forecasting performance, but only over long horizon. At the daily level the assumption of a constant unconditional variance does not seem to affect forecasts.
Download or read book Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models written by Shelton Peiris and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Volatility Processes and Volatility Forecast with Long Memory written by Gilles O. Zumbach and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a new family of processes that include the long memory (power law) in the volatility correlation. This is achieved by measuring the historical volatility on a set of increasing time horizons and by computing the resulting effective volatility by a sum with power law weights. In the limit where only one component is included, the models are equivalent to GARCH(1,1) and I-GARCH(1). The models have 2 parameters (integrated processes) or 4 parameters (mean reverting processes). Volatility forecast in the context of quadratic processes is discussed, in particular as a mean to estimate process parameters. Using hourly data, the empirical properties of the new models are compared to existing models (GARCH, FIGARCH, ...), in particular log-likelihood estimates and volatility forecast errors. These studies show the advantage of the long memory processes as they give a good description of the empirical data from 1 hour to 1 month, with the same parameters.
Download or read book Volatility Forecasting written by Jakob Guldbæk Mikkelsen and published by . This book was released on 2013 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling and Forecasting S P 500 Volatility written by Martin Prudentius Eleonora Martens and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long memory in volatility modelling and forecasting in the wavelet domain written by Apostolos Noutsos and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
