Asymmetric Dependence In Finance

Asymmetric Dependence In Finance Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Asymmetric Dependence In Finance book. This book definitely worth reading, it is an incredibly well-written.

Asymmetric Dependence in Finance

Jamie Alcock,Stephen Satchell
Asymmetric Dependence in Finance Book PDF

Author : Jamie Alcock,Stephen Satchell
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 53,9 Mb
Release : 2018-02-13
Category : Business & Economics
ISBN : 9781119289029

Get Book

Asymmetric Dependence in Finance by Jamie Alcock,Stephen Satchell Pdf

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.

Asymmetric Dependence in Finance

Jamie Alcock,Stephen Satchell
Asymmetric Dependence in Finance Book PDF

Author : Jamie Alcock,Stephen Satchell
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 52,9 Mb
Release : 2018-06-05
Category : Business & Economics
ISBN : 9781119289012

Get Book

Asymmetric Dependence in Finance by Jamie Alcock,Stephen Satchell Pdf

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.

Asymmetric Information, Corporate Finance, and Investment

R. Glenn Hubbard
Asymmetric Information Corporate Finance and Investment Book PDF

Author : R. Glenn Hubbard
Publisher : University of Chicago Press
Page : 354 pages
File Size : 40,8 Mb
Release : 2009-05-15
Category : Business & Economics
ISBN : 9780226355948

Get Book

Asymmetric Information, Corporate Finance, and Investment by R. Glenn Hubbard Pdf

In this volume, specialists from traditionally separate areas in economics and finance investigate issues at the conjunction of their fields. They argue that financial decisions of the firm can affect real economic activity—and this is true for enough firms and consumers to have significant aggregate economic effects. They demonstrate that important differences—asymmetries—in access to information between "borrowers" and "lenders" ("insiders" and "outsiders") in financial transactions affect investment decisions of firms and the organization of financial markets. The original research emphasizes the role of information problems in explaining empirically important links between internal finance and investment, as well as their role in accounting for observed variations in mechanisms for corporate control.

Corporate Finance Under Asymmetric Information

Ejike Ezejiofor
Corporate Finance Under Asymmetric Information Book PDF

Author : Ejike Ezejiofor
Publisher : GRIN Verlag
Page : 21 pages
File Size : 55,9 Mb
Release : 2014-11-18
Category : Business & Economics
ISBN : 9783656841449

Get Book

Corporate Finance Under Asymmetric Information by Ejike Ezejiofor Pdf

Seminar paper from the year 2014 in the subject Economics - Finance, , course: MBA and Engineering, language: English, abstract: The specter of decreased economic activities, financial crisis, unbecoming ethical standards have in the recent past and fore going, characterized asymmetric information on corporate finance. The consequences normally have a ricochet effect and can be generally catastrophic to normal economic activities to mention the least. This paper considers scenario’s where information asymmetry was prevalent or may have had its effects play out. The typical investor mindset and the opportunity cost associated with the preferred capital structure of the capitalizing process were mentioned. A basis for proper appreciation of the concept – Corporate finance under asymmetric information was initiated here, with a detailed explanation of corporate finance and its components, this was succeeded by a summary of scenarios were asymmetric information were prevalent and an intelligent look was also taken at asymmetric information between insiders and investors and the concomitant lemon problem, where the effects were carefully highlighted in a progression to the level of severity - Market breakdown and costly signaling. The fact that asymmetric information has been widely recognized as bad and generally viewed in a negative light must warrant it being viewed with a high level of seriousness. It is widely known that while lot of effort have been put into stemming the tides of the consequences of asymmetric information, a lot of effort too, have been dedicated to innovation and risk assessment, to capture the interest of investors, who have been affected by the consequences of asymmetric information. These may have formed a veritable platform for a recent paper by Pierre Barbaroux (2014), that elucidated the rise of innovation and innovative entrepreneurs based on the management of asymmetric information. An attempt has in any case, been made here to suggest efforts at marginalizing the negative impacts of asymmetric information and also remedies at reducing the far reaching impacts on the lenders and the aggregate economic activity in general.

Asymmetric Information in Financial Markets

Ricardo N. Bebczuk
Asymmetric Information in Financial Markets Book PDF

Author : Ricardo N. Bebczuk
Publisher : Cambridge University Press
Page : 176 pages
File Size : 50,5 Mb
Release : 2003-08-21
Category : Business & Economics
ISBN : 0521797322

Get Book

Asymmetric Information in Financial Markets by Ricardo N. Bebczuk Pdf

Asymmetric information (the fact that borrowers have better information than their lenders) and its theoretical and practical evidence now forms part of the basic tool kit of every financial economist. It is a phenomenon that has major implications for a number of economic and financial issues ranging from both micro and macroeconomic level - corporate debt, investment and dividend policies, the depth and duration of business cycles, the rate of long term economic growth - to the origin of financial and international crises. Asymmetric Information in Financial Markets aims to explain this concept in an accessible way, without jargon and by reducing mathematical complexity. Using elementary algebra and statistics, graphs, and convincing real-world evidence, the author explores the foundations of the problems posed by asymmetries of information in a refreshingly accessible and intuitive way.

Copulae and Multivariate Probability Distributions in Finance

Alexandra Dias,Mark Salmon,Chris Adcock
Copulae and Multivariate Probability Distributions in Finance Book PDF

Author : Alexandra Dias,Mark Salmon,Chris Adcock
Publisher : Routledge
Page : 310 pages
File Size : 50,8 Mb
Release : 2013-08-21
Category : Business & Economics
ISBN : 9781317976905

Get Book

Copulae and Multivariate Probability Distributions in Finance by Alexandra Dias,Mark Salmon,Chris Adcock Pdf

Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Financial Modeling Under Non-Gaussian Distributions

Eric Jondeau,Ser-Huang Poon,Michael Rockinger
Financial Modeling Under Non Gaussian Distributions Book PDF

Author : Eric Jondeau,Ser-Huang Poon,Michael Rockinger
Publisher : Springer Science & Business Media
Page : 541 pages
File Size : 51,5 Mb
Release : 2007-04-05
Category : Mathematics
ISBN : 9781846286964

Get Book

Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau,Ser-Huang Poon,Michael Rockinger Pdf

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

The Oxford Handbook of Entrepreneurial Finance

Douglas Cumming
The Oxford Handbook of Entrepreneurial Finance Book PDF

Author : Douglas Cumming
Publisher : OUP USA
Page : 937 pages
File Size : 48,8 Mb
Release : 2012-03-22
Category : Business & Economics
ISBN : 9780195391244

Get Book

The Oxford Handbook of Entrepreneurial Finance by Douglas Cumming Pdf

Provides a comprehensive picture of issues dealing with different sources of entrepreneurial finance and different issues with financing entrepreneurs. The Handbook comprises contributions from 48 authors based in 12 different countries.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Cheng Few Lee,John C Lee
Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes Book PDF

Author : Cheng Few Lee,John C Lee
Publisher : World Scientific
Page : 5053 pages
File Size : 45,8 Mb
Release : 2020-07-30
Category : Business & Economics
ISBN : 9789811202407

Get Book

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by Cheng Few Lee,John C Lee Pdf

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Asset Pricing Under Asymmetric Information

Markus Konrad Brunnermeier
Asset Pricing Under Asymmetric Information Book PDF

Author : Markus Konrad Brunnermeier
Publisher : Oxford University Press, USA
Page : 264 pages
File Size : 54,7 Mb
Release : 2001
Category : Business & Economics
ISBN : 0198296983

Get Book

Asset Pricing Under Asymmetric Information by Markus Konrad Brunnermeier Pdf

The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.

International Finance

H. Kent Baker,Leigh A. Riddick
International Finance Book PDF

Author : H. Kent Baker,Leigh A. Riddick
Publisher : Oxford University Press
Page : 701 pages
File Size : 49,8 Mb
Release : 2013-01-17
Category : Business & Economics
ISBN : 9780199754656

Get Book

International Finance by H. Kent Baker,Leigh A. Riddick Pdf

Understanding the current state of affairs and tools available in the study of international finance is increasingly important as few areas in finance can be divorced completely from international issues. International Finance reflects the new diversity of interest in international finance by bringing together a set of chapters that summarizes and synthesizes developments to date in the many and varied areas that are now viewed as having international content. The book attempts to differentiate between what is known, what is believed, and what is still being debated about international finance. The survey nature of this book involves tradeoffs that inevitably had to be made in the process given the vast footprint that constitutes international finance. No single book can cover everything. This book, however, tries to maintain a balance between the micro and macro aspects of international finance. Although each chapter is self-contained, the chapters form a logical whole that follows a logical sequence. The book is organized into five broad categories of interest: (1) exchange rates and risk management, (2) international financial markets and institutions, (3) international investing, (4) international financial management, and (5) special topics. The chapters cover market integration, financial crisis, and the links between financial markets and development in some detail as they relate to these areas. In each instance, the contributors to this book discuss developments in the field to date and explain the importance of each area to finance as a field of study. Consequently, the strategic focus of the book is both broad and narrow, depending on the reader's needs. The entire book provides a broad picture of the current state of international finance, but a reader with more focused interests will find individual chapters illuminating on specific topics.

Quantile Regression

Roger Koenker
Quantile Regression Book PDF

Author : Roger Koenker
Publisher : Cambridge University Press
Page : 367 pages
File Size : 51,6 Mb
Release : 2005-05-05
Category : Business & Economics
ISBN : 9781139444712

Get Book

Quantile Regression by Roger Koenker Pdf

Quantile regression is gradually emerging as a unified statistical methodology for estimating models of conditional quantile functions. By complementing the exclusive focus of classical least squares regression on the conditional mean, quantile regression offers a systematic strategy for examining how covariates influence the location, scale and shape of the entire response distribution. This monograph is the first comprehensive treatment of the subject, encompassing models that are linear and nonlinear, parametric and nonparametric. The author has devoted more than 25 years of research to this topic. The methods in the analysis are illustrated with a variety of applications from economics, biology, ecology and finance. The treatment will find its core audiences in econometrics, statistics, and applied mathematics in addition to the disciplines cited above.

Data Science for Financial Econometrics

Nguyen Ngoc Thach,Vladik Kreinovich,Nguyen Duc Trung
Data Science for Financial Econometrics Book PDF

Author : Nguyen Ngoc Thach,Vladik Kreinovich,Nguyen Duc Trung
Publisher : Springer Nature
Page : 633 pages
File Size : 41,7 Mb
Release : 2020-11-13
Category : Computers
ISBN : 9783030488536

Get Book

Data Science for Financial Econometrics by Nguyen Ngoc Thach,Vladik Kreinovich,Nguyen Duc Trung Pdf

This book offers an overview of state-of-the-art econometric techniques, with a special emphasis on financial econometrics. There is a major need for such techniques, since the traditional way of designing mathematical models – based on researchers’ insights – can no longer keep pace with the ever-increasing data flow. To catch up, many application areas have begun relying on data science, i.e., on techniques for extracting models from data, such as data mining, machine learning, and innovative statistics. In terms of capitalizing on data science, many application areas are way ahead of economics. To close this gap, the book provides examples of how data science techniques can be used in economics. Corresponding techniques range from almost traditional statistics to promising novel ideas such as quantum econometrics. Given its scope, the book will appeal to students and researchers interested in state-of-the-art developments, and to practitioners interested in using data science techniques.

Handbook of Volatility Models and Their Applications

Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Handbook of Volatility Models and Their Applications Book PDF

Author : Luc Bauwens,Christian M. Hafner,Sebastien Laurent
Publisher : John Wiley & Sons
Page : 566 pages
File Size : 41,6 Mb
Release : 2012-03-22
Category : Business & Economics
ISBN : 9781118272053

Get Book

Handbook of Volatility Models and Their Applications by Luc Bauwens,Christian M. Hafner,Sebastien Laurent Pdf

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

Essays in Nonlinear Time Series Econometrics

Niels Haldrup,Mika Meitz,Pentti Saikkonen
Essays in Nonlinear Time Series Econometrics Book PDF

Author : Niels Haldrup,Mika Meitz,Pentti Saikkonen
Publisher : Oxford University Press
Page : 393 pages
File Size : 52,7 Mb
Release : 2014-05
Category : Business & Economics
ISBN : 9780199679959

Get Book

Essays in Nonlinear Time Series Econometrics by Niels Haldrup,Mika Meitz,Pentti Saikkonen Pdf

A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.