Robustness Issues In The Statistical Analysis Of Garch Processes With Applications To Finance PDF Download
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| Author | : Christoph Boerlin |
| Publisher | : |
| Total Pages | : |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Robustness Issues in the Statistical Analysis of GARCH Processes with Applications to Finance Book in PDF, ePub and Kindle
This master's thesis examines the use of robust semi-parametric bootstrap methods for GARCH-type volatility processes for the estimation of Value at Risk (VaR) and Expected Shortfall (ES). I discuss the advantages of ES over VaR, namely that it is sub-additive and provides information which is even more intuitive than that of VaR. The second part of the thesis presents the theoretical background for robust semi-parametric VaR and ES estimation and contains a replication of the Monte Carlo experiments by Trojani and Mancini (2004), who found that robust estimation is more accurate than Filtered Historical Simulation (FHS). Applying FHS, robust FHS using a robust GARCH estimator, Extreme Value Theory (EVT), and robust EVT to estimate 1-day and 10-day VaR and ES, my results are different from theirs. Although the obtained estimations are less precise, they point in the same direction as the findings by Trojani and Mancini (2004).
| Author | : Vladik Kreinovich |
| Publisher | : Springer |
| Total Pages | : 693 |
| Release | : 2017-02-11 |
| Genre | : Technology & Engineering |
| ISBN | : 3319507427 |
Download Robustness in Econometrics Book in PDF, ePub and Kindle
This book presents recent research on robustness in econometrics. Robust data processing techniques – i.e., techniques that yield results minimally affected by outliers – and their applications to real-life economic and financial situations are the main focus of this book. The book also discusses applications of more traditional statistical techniques to econometric problems. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. In day-by-day data, we often encounter outliers that do not reflect the long-term economic trends, e.g., unexpected and abrupt fluctuations. As such, it is important to develop robust data processing techniques that can accommodate these fluctuations.
| Author | : Gilles Zumbach |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 326 |
| Release | : 2012-09-26 |
| Genre | : Business & Economics |
| ISBN | : 3642317413 |
Download Discrete Time Series, Processes, and Applications in Finance Book in PDF, ePub and Kindle
This book surveys empirical properties of financial time series, discusses their mathematical basis, and describes uses in risk evaluation, option pricing or portfolio construction. The author introduces and assesses a range of processes against the benchmark.
| Author | : Marat Ibragimov |
| Publisher | : Springer |
| Total Pages | : 131 |
| Release | : 2015-05-23 |
| Genre | : Business & Economics |
| ISBN | : 3319168770 |
Download Heavy-Tailed Distributions and Robustness in Economics and Finance Book in PDF, ePub and Kindle
This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. A central theme is that of (non-)robustness, i.e., the fact that the presence of heavy tails can either reinforce or reverse the implications of a number of models in these fields, depending on the degree of heavy-tailed ness. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations. Several recently developed robust inference approaches are discussed and illustrated, together with applications.
| Author | : Christian Francq |
| Publisher | : John Wiley & Sons |
| Total Pages | : 469 |
| Release | : 2011-06-24 |
| Genre | : Mathematics |
| ISBN | : 1119957397 |
Download GARCH Models Book in PDF, ePub and Kindle
This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
| Author | : Yuriy Kharin |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 369 |
| Release | : 2013-09-04 |
| Genre | : Mathematics |
| ISBN | : 3319008404 |
Download Robustness in Statistical Forecasting Book in PDF, ePub and Kindle
This book offers solutions to such topical problems as developing mathematical models and descriptions of typical distortions in applied forecasting problems; evaluating robustness for traditional forecasting procedures under distortionism and more.
| Author | : Apostolos-Paul N. Refenes |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 472 |
| Release | : 2013-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1461556252 |
Download Decision Technologies for Computational Finance Book in PDF, ePub and Kindle
This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.
| Author | : Tata Subba Rao |
| Publisher | : Elsevier |
| Total Pages | : 778 |
| Release | : 2012-06-26 |
| Genre | : Mathematics |
| ISBN | : 0444538585 |
Download Time Series Analysis: Methods and Applications Book in PDF, ePub and Kindle
'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
| Author | : Richard A. Davis |
| Publisher | : CRC Press |
| Total Pages | : 484 |
| Release | : 2016-01-06 |
| Genre | : Mathematics |
| ISBN | : 1466577746 |
Download Handbook of Discrete-Valued Time Series Book in PDF, ePub and Kindle
Model a Wide Range of Count Time Series Handbook of Discrete-Valued Time Series presents state-of-the-art methods for modeling time series of counts and incorporates frequentist and Bayesian approaches for discrete-valued spatio-temporal data and multivariate data. While the book focuses on time series of counts, some of the techniques discussed ca
| Author | : David Ardia |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 206 |
| Release | : 2008-05-08 |
| Genre | : Business & Economics |
| ISBN | : 3540786570 |
Download Financial Risk Management with Bayesian Estimation of GARCH Models Book in PDF, ePub and Kindle
This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
