Dependence Between Croatian And European Stock Markets A Copula Garch Approach PDF Download
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| Author | : Silvo Dajčman |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Dependence Between Croatian and European Stock Markets - A Copula GARCH Approach Book in PDF, ePub and Kindle
The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function. Four different copulas are fitted - a constant and conditional normal and symmetric Joe-Clayton (SJC) copulas - and estimated by a semi-parametric method. We found that the timevarying normal copula yields the best fit for CROBEX-CAC40, CROBEX-DAX, and CROBEX-FTSE-MIB stock indices pairs, while the time-varying SJC copula is the best fit for CROBEX-ATX and CROBEX-FTSE100. Further, we found that the probability of simultaneous extreme positive and negative returns in Croatian and other European stock markets can increase to 0.77 during turbulent times. The lower and upper tail dependence dynamics between Croatian and other European stock markets is similar in pattern, differing only in scale. The basic conclusion of the research is that the dependence between the stock markets of Croatia and five major European stock markets is dynamic and can be properly captured by either a dynamic normal or symmetrized Joe-Clayton copula GARCH models.
| Author | : Jamie Alcock |
| Publisher | : John Wiley & Sons |
| Total Pages | : 312 |
| Release | : 2018-06-05 |
| Genre | : Business & Economics |
| ISBN | : 1119289017 |
Download Asymmetric Dependence in Finance Book in PDF, ePub and Kindle
Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
| Author | : Mr.Andreas A. Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 93 |
| Release | : 2013-02-27 |
| Genre | : Business & Economics |
| ISBN | : 1475557531 |
Download Systemic Contingent Claims Analysis Book in PDF, ePub and Kindle
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
| Author | : J.E. Trinidad-Segovia |
| Publisher | : MDPI |
| Total Pages | : 418 |
| Release | : 2021-02-12 |
| Genre | : Business & Economics |
| ISBN | : 3036501967 |
Download Quantitative Methods for Economics and Finance Book in PDF, ePub and Kindle
This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice.
| Author | : Michael McAleer |
| Publisher | : MDPI |
| Total Pages | : 536 |
| Release | : 2019-07-23 |
| Genre | : Business & Economics |
| ISBN | : 3038974439 |
Download Risk Measures with Applications in Finance and Economics Book in PDF, ePub and Kindle
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.A Special Issue of “Risk Measures with Applications in Finance and Economics” will be devoted to advancements in the mathematical and statistical development of risk measures with applications in finance and economics. This Special Issue will bring together the theory, practice and real-world applications of risk measures. This book is a collection of papers published in the Special Issue of “Risk Measures with Applications in Finance and Economics” for Sustainability in 2018.
| Author | : Thanasis Stengos |
| Publisher | : MDPI |
| Total Pages | : 224 |
| Release | : 2019-05-20 |
| Genre | : Business & Economics |
| ISBN | : 3038979643 |
Download Nonparametric Econometric Methods and Application Book in PDF, ePub and Kindle
The present Special Issue collects a number of new contributions both at the theoretical level and in terms of applications in the areas of nonparametric and semiparametric econometric methods. In particular, this collection of papers that cover areas such as developments in local smoothing techniques, splines, series estimators, and wavelets will add to the existing rich literature on these subjects and enhance our ability to use data to test economic hypotheses in a variety of fields, such as financial economics, microeconomics, macroeconomics, labor economics, and economic growth, to name a few.
| Author | : Romain Lafarguette |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2021-02-12 |
| Genre | : Business & Economics |
| ISBN | : 1513569406 |
Download Foreign Exchange Intervention Rules for Central Banks: A Risk-based Framework Book in PDF, ePub and Kindle
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge against tail risk, the rule allows the exchange rate to smoothly adjust to new equilibria. In addition, the rule is budget neutral over the medium term, encourages a prudent risk management in the market, and is more resilient to speculative attacks than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico’s FXIs data between 2008 and 2016.
| Author | : Dariusz Zarzecki |
| Publisher | : MDPI |
| Total Pages | : 460 |
| Release | : 2020-12-29 |
| Genre | : Business & Economics |
| ISBN | : 3039365533 |
Download Sustainable Value Management–New Concepts and Contemporary Trends Book in PDF, ePub and Kindle
Sustainable value management reveals a new space for studying business models. The traditional approach is based on the assumption that the goal of any business is to make money. All decisions regarding supply and production should be made to maximize profit. The discrepancy in creating non-economic value is sometimes the result of separating ownership from control over an enterprise. Although shareholders are interested in maximizing profit, management that actually makes decisions can also pursue other goals. In addition to economic aspects, the management intentions of modern managers are also influenced by factors arising from the organizational culture built, co-created within the organization and sometimes with the participation of external actors such as suppliers and customers. The sources of the creation of social values will be the management intentions of top management, often initiated by the adopted values and rules on the basis of which resources are bound within the structure of the business model. The value of sustainability is based on the identification of those creative sources that relate to economic and social value. Economic value is created through social value and vice versa. This allows the complementarity of the value created to be mutually supportive. The business model that integrates both of these values should be more resistant to crises than the one that is oriented only toward producing economic value. Concurrent implementation of economic and social goals increases resilience and affects the success of modern business models. This is due to the specificity of the business ecosystem that is built as part of the business model, which, in essence, is based on the use of social factors to merge the business model into a complex ecosystem capable of producing value.
| Author | : International Monetary Fund Staff |
| Publisher | : International Monetary Fund |
| Total Pages | : 210 |
| Release | : 2008-04-08 |
| Genre | : Business & Economics |
| ISBN | : 145197941X |
Download Global Financial Stability Report Book in PDF, ePub and Kindle
The events of the past six months have demonstrated the fragility of the global financial system and raised fundamental questions about the effectiveness of the response by private and public sector institutions. the report assesses the vulnerabilities that the system is facing and offers tentative conclusions and policy lessons. the report reflects information available up to March 21, 2008.
| Author | : Aizhan Khoich |
| Publisher | : IJOPEC PUBLICATION |
| Total Pages | : 575 |
| Release | : 2020-09-10 |
| Genre | : Business & Economics |
| ISBN | : 1913809021 |
Download Perspectives on Modern Economy Book in PDF, ePub and Kindle
This book aims to provide researchers from basic disciplines of the economics fields such as consumer behavior and public economy with a variety of distinctive perspectives in today’s world where the behavior and preferences of economic actors have changed completely, and the economic policies of countries have been redrafted.
