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| Author | : Kenneth F. Kroner |
| Publisher | : |
| Total Pages | : 282 |
| Release | : 1988 |
| Genre | : Economics |
| ISBN | : |
| Author | : Richard Lauren Harmon |
| Publisher | : |
| Total Pages | : 234 |
| Release | : 1988 |
| Genre | : Econometrics |
| ISBN | : |
| Author | : Torben Gustav Andersen |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 1045 |
| Release | : 2009-04-21 |
| Genre | : Business & Economics |
| ISBN | : 3540712976 |
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
| Author | : William W. S. Wei |
| Publisher | : John Wiley & Sons |
| Total Pages | : 536 |
| Release | : 2019-03-18 |
| Genre | : Mathematics |
| ISBN | : 1119502853 |
An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
| Author | : Wolfgang Karl Härdle |
| Publisher | : Springer |
| Total Pages | : 369 |
| Release | : 2017-08-02 |
| Genre | : Business & Economics |
| ISBN | : 3662544865 |
This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.
| Author | : Weibin Jiang |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time series, which makes the application of multivariate models a necessity. Unfortunately the asymptotic theory of the multivariate GARCH models is far from coherent since many algorithms on the univariate case do not extend to multivariate models naturally. This thesis studies the asymptotic theory of the QMLE under mild conditions. We give some counterexamples for the parameter identifiability result in Jeantheau [1998] and provide a better necessary and sufficient condition. We prove the ergodicity of the conditional variance process on an application of theorems by Meyn and Tweedie [2009]. Under those conditions, the consistency and asymptotic normality of the QMLE can be proved by the standard compactness argument and Taylor expansion of the score function. We also give numeric example on verifying the assumptions and the scaling issue when estimating GARCH parameters in S+ FinMetrics.
| Author | : Florian Fuchs |
| Publisher | : diplom.de |
| Total Pages | : 66 |
| Release | : 2010-05-28 |
| Genre | : Mathematics |
| ISBN | : 3836647001 |
Inhaltsangabe:Die Einleitung senden wir Ihnen auf Anfrage unter [email protected] gerne zu. Inhaltsverzeichnis:Table of Contents: Introductionii 1.Preliminaries1 1.1Markov Chains1 1.1.1Strict Stationarity and Stationarity2 1.1.2Invariant Measures3 1.1.3Irreducibility, Small Sets and Aperiodic Chains4 1.1.4Petite Sets5 1.1.5Feller Chains6 1.1.6Transience, Recurrence and Harris Recurrence8 1.1.7Ergodicity9 1.1.8ß Mixing9 1.1.9Criterion for Ergodicity and ß Mixing10 1.2Algebraic Geometry12 1.2.1Semi-algebraic and Algebraic Sets12 1.2.2Regular Points and Dimension of Algebraic Varieties15 1.2.3Regular Maps17 2.Autoregressive Processes defined by a Composition of a Regular Map and a Diffeomorphism20 2.1Introduction20 2.2Properties of the Image Measure21 2.3Semi-polynomial Markov Chains24 2.3.1Model and Assumptions25 2.3.2Algebraic Variety of States26 2.3.3Harris Recurrence, Ergodicity and ß Mixing28 3.Multivariate GARCH Models32 3.1Introduction and Notations32 3.2The vec and BEKK Models33 3.3Stationarity of Multivariate GARCH Models36 3.3.1Autoregressive Representation36 3.3.2Some Results from Linear Algebra38 3.3.3Verification of Assumption (A2)44 3.3.4Verification of Assumption (A3)46 3.3.5Foster - Lyapounov Condition (FL)49 3.3.6Harris Recurrence, Ergodicity and ß Mixing52 Textprobe:Eine Textprobe senden wir Ihnen auf Anfrage unter [email protected] gerne zu.
| Author | : Stephen J. Taylor |
| Publisher | : Princeton University Press |
| Total Pages | : 544 |
| Release | : 2011-02-11 |
| Genre | : Business & Economics |
| ISBN | : 1400839254 |
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
| Author | : Abdulkader Aljandali |
| Publisher | : Springer |
| Total Pages | : 293 |
| Release | : 2018-10-22 |
| Genre | : Business & Economics |
| ISBN | : 3319929852 |
This practical guide in Eviews is aimed at practitioners and students in business, economics, econometrics, and finance. It uses a step-by-step approach to equip readers with a toolkit that enables them to make the most of this widely used econometric analysis software. Statistical and econometrics concepts are explained visually with examples, problems, and solutions. Developed by economists, the Eviews statistical software package is used most commonly for time-series oriented econometric analysis. It allows users to quickly develop statistical relations from data and then use those relations to forecast future values of the data. The package provides convenient ways to enter or upload data series, create new series from existing ones, display and print series, carry out statistical analyses of relationships among series, and manipulate results and output. This highly hands-on resource includes more than 200 illustrative graphs and tables and tutorials throughout. Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Markers, Quantitative Analysis, Multivariate Methods & Forecasting with IBM SPSS Statistics and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy. Motasam Tatahi is a specialist in the areas of Macroeconomics, Financial Economics, and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance at The European Business School-London.
| Author | : |
| Publisher | : Delta Publicaciones |
| Total Pages | : 748 |
| Release | : 2009 |
| Genre | : |
| ISBN | : 8492453699 |
