Dynamic Models For Volatility And Heavy Tails

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Dynamic Models for Volatility and Heavy Tails

Andrew C. Harvey
Dynamic Models for Volatility and Heavy Tails Book PDF

Author : Andrew C. Harvey
Publisher : Cambridge University Press
Page : 128 pages
File Size : 43,6 Mb
Release : 2013-04-22
Category : Business & Economics
ISBN : 9781107328785

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Dynamic Models for Volatility and Heavy Tails by Andrew C. Harvey Pdf

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

Dynamic Models for Volatility and Heavy Tails

Andrew C. Harvey
Dynamic Models for Volatility and Heavy Tails Book PDF

Author : Andrew C. Harvey
Publisher : Cambridge University Press
Page : 281 pages
File Size : 43,9 Mb
Release : 2013-04-22
Category : Business & Economics
ISBN : 9781107034723

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Dynamic Models for Volatility and Heavy Tails by Andrew C. Harvey Pdf

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

The Fundamentals of Heavy Tails

Jayakrishnan Nair,Adam Wierman,Bert Zwart
The Fundamentals of Heavy Tails Book PDF

Author : Jayakrishnan Nair,Adam Wierman,Bert Zwart
Publisher : Cambridge University Press
Page : 265 pages
File Size : 53,8 Mb
Release : 2022-06-09
Category : Business & Economics
ISBN : 9781316511732

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The Fundamentals of Heavy Tails by Jayakrishnan Nair,Adam Wierman,Bert Zwart Pdf

An accessible yet rigorous package of probabilistic and statistical tools for anyone who must understand or model extreme events.

Directional Statistics for Innovative Applications

Ashis SenGupta,Barry C. Arnold
Directional Statistics for Innovative Applications Book PDF

Author : Ashis SenGupta,Barry C. Arnold
Publisher : Springer Nature
Page : 487 pages
File Size : 43,9 Mb
Release : 2022-06-15
Category : Mathematics
ISBN : 9789811910449

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Directional Statistics for Innovative Applications by Ashis SenGupta,Barry C. Arnold Pdf

In commemoration of the bicentennial of the birth of the “lady who gave the rose diagram to us”, this special contributed book pays a statistical tribute to Florence Nightingale. This book presents recent phenomenal developments, both in rigorous theory as well as in emerging methods, for applications in directional statistics, in 25 chapters with contributions from 65 renowned researchers from 25 countries. With the advent of modern techniques in statistical paradigms and statistical machine learning, directional statistics has become an indispensable tool. Ranging from data on circles to that on the spheres, tori and cylinders, this book includes solutions to problems on exploratory data analysis, probability distributions on manifolds, maximum entropy, directional regression analysis, spatio-directional time series, optimal inference, simulation, statistical machine learning with big data, and more, with their innovative applications to emerging real-life problems in astro-statistics, bioinformatics, crystallography, optimal transport, statistical process control, and so on.

Dynamic Factor Models

Anonim
Dynamic Factor Models Book PDF

Author : Anonim
Publisher : Emerald Group Publishing
Page : 688 pages
File Size : 42,7 Mb
Release : 2016-01-08
Category : Business & Economics
ISBN : 9781785603525

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Dynamic Factor Models by Anonim Pdf

This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Linear Models and Time-Series Analysis

Marc S. Paolella
Linear Models and Time Series Analysis Book PDF

Author : Marc S. Paolella
Publisher : John Wiley & Sons
Page : 896 pages
File Size : 52,8 Mb
Release : 2018-10-10
Category : Mathematics
ISBN : 9781119431985

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Linear Models and Time-Series Analysis by Marc S. Paolella Pdf

A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

GARCH Models

Christian Francq,Jean-Michel Zakoian
GARCH Models Book PDF

Author : Christian Francq,Jean-Michel Zakoian
Publisher : John Wiley & Sons
Page : 504 pages
File Size : 50,9 Mb
Release : 2019-03-19
Category : Mathematics
ISBN : 9781119313564

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GARCH Models by Christian Francq,Jean-Michel Zakoian Pdf

Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline 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 new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used. GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd Edition features a new chapter on Parameter-Driven Volatility Models, which covers Stochastic Volatility Models and Markov Switching Volatility Models. A second new chapter titled Alternative Models for the Conditional Variance contains a section on Stochastic Recurrence Equations and additional material on EGARCH, Log-GARCH, GAS, MIDAS, and intraday volatility models, among others. The book is also updated with a more complete discussion of multivariate GARCH; a new section on Cholesky GARCH; a larger emphasis on the inference of multivariate GARCH models; a new set of corrected problems available online; and an up-to-date list of references. Features up-to-date coverage of the current research in the probability, statistics, and econometric theory of GARCH models Covers significant developments in the field, especially in multivariate models Contains completely renewed chapters with new topics and results Handles both theoretical and applied aspects Applies to researchers in different fields (time series, econometrics, finance) Includes numerous illustrations and applications to real financial series Presents a large collection of exercises with corrections Supplemented by a supporting website featuring R codes, Fortran programs, data sets and Problems with corrections GARCH Models, 2nd Edition is an authoritative, state-of-the-art reference that is ideal for graduate students, researchers, and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Financial Mathematics, Volatility and Covariance Modelling

Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Financial Mathematics Volatility and Covariance Modelling Book PDF

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 344 pages
File Size : 52,9 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669085

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Financial Mathematics, Volatility and Covariance Modelling by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Alternative Assets and Cryptocurrencies

Christian Hafner
Alternative Assets and Cryptocurrencies Book PDF

Author : Christian Hafner
Publisher : MDPI
Page : 218 pages
File Size : 53,5 Mb
Release : 2019-07-26
Category : Business & Economics
ISBN : 9783038979784

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Alternative Assets and Cryptocurrencies by Christian Hafner Pdf

Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.

Global Economic Revolutions

Anonim
Global Economic Revolutions Book PDF

Author : Anonim
Publisher : Springer Nature
Page : 264 pages
File Size : 46,5 Mb
Release : 2024-06-30
Category : Big data
ISBN : 9783031505188

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Global Economic Revolutions by Anonim Pdf

This book constitutes the revised and selected papers of the International Conference on Global Economic Revolutions (ICGER 2023) held in Sharjah City, United Arab Emirates, during February 27-28, 2023. The 18 papers included in this book were thoroughly reviewed and selected from the 105 submissions. The papers focus on topics related to data science and data centers, machine learning, sustainable technologies for a green economy, metaverse in the healthcare education, Predictive Model Analytics using Data mining and Machine learning, blockchain adoption and acceptance, Narrow Band Internet of Things, and enhanced Bubble Sorting Visualizer.

Systemic Risk Tomography

Monica Billio,Loriana Pelizzon,Roberto Savona
Systemic Risk Tomography Book PDF

Author : Monica Billio,Loriana Pelizzon,Roberto Savona
Publisher : Elsevier
Page : 300 pages
File Size : 40,6 Mb
Release : 2016-11-25
Category : Business & Economics
ISBN : 9780081011768

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Systemic Risk Tomography by Monica Billio,Loriana Pelizzon,Roberto Savona Pdf

In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached systemic dimensions in September 2008 with the Lehman Brothers’ crash, took a new course. An adverse feedback loop between sovereign and bank risks reflected into bubble-like spreads, as if financial markets had received a wake-up call concerning the disregarded structural vulnerability of economies at risk. These events inspired the SYRTO project to “think and rethink the economic and financial system and to conceive it as an “ensemble of Sovereigns and Banks with other Financial Intermediaries and Corporations. Systemic Risk Tomography: Signals, Measurement and Transmission Channels proposes a novel way to explore the financial system by sectioning each part of it and analyzing all relevant inter-relationships. The financial system is inspected as a biological entity to identify the main risk signals and to provide the correct measures of prevention and intervention. Explores the economic and financial system of Sovereigns, Banks, other Financial Intermediaries, and Corporations Presents the financial system as a biological entity to be explored in order to identify the main risk signals and provide the right measures of prevention and interventions Offers a new, systemic-based approach to construct a hierarchical, internally coherent framework to be used in developing an effective early warning system

Conceptual Econometrics Using R

Anonim
Conceptual Econometrics Using R Book PDF

Author : Anonim
Publisher : Elsevier
Page : 330 pages
File Size : 46,6 Mb
Release : 2019-08-20
Category : Mathematics
ISBN : 9780444643124

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Conceptual Econometrics Using R by Anonim Pdf

Conceptual Econometrics Using R, Volume 41 provides state-of-the-art information on important topics in econometrics, including quantitative game theory, multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, productivity and financial market jumps and co-jumps, among others. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R, allowing readers to not only use the tools on their own data, but also jumpstart their understanding of the state-of-the-art

Intelligent Computing and Block Chain

Wanling Gao,Kai Hwang,Changyun Wang,Weiping Li,Zhigang Qiu,Lei Wang,Aoying Zhou,Weining Qian,Cheqing Jin,Zhifei Zhang
Intelligent Computing and Block Chain Book PDF

Author : Wanling Gao,Kai Hwang,Changyun Wang,Weiping Li,Zhigang Qiu,Lei Wang,Aoying Zhou,Weining Qian,Cheqing Jin,Zhifei Zhang
Publisher : Springer Nature
Page : 508 pages
File Size : 44,5 Mb
Release : 2021-03-10
Category : Computers
ISBN : 9789811611605

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Intelligent Computing and Block Chain by Wanling Gao,Kai Hwang,Changyun Wang,Weiping Li,Zhigang Qiu,Lei Wang,Aoying Zhou,Weining Qian,Cheqing Jin,Zhifei Zhang Pdf

This book constitutes the refereed post-conference proceedings of the Second BenchCouncil International Federated Intelligent Computing and Block Chain Conferences, FICC 2020, held in Qingdao, China, in October/ November 2020. The 32 full papers and 6 short papers presented were carefully reviewed and selected from 103 submissions. The papers of this volume are organized in topical sections on AI and medical technology; AI and big data; AI and block chain; AI and education technology; and AI and financial technology.

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Marco Corazza,María Durbán,Aurea Grané,Cira Perna,Marilena Sibillo
Mathematical and Statistical Methods for Actuarial Sciences and Finance Book PDF

Author : Marco Corazza,María Durbán,Aurea Grané,Cira Perna,Marilena Sibillo
Publisher : Springer
Page : 518 pages
File Size : 49,7 Mb
Release : 2018-07-17
Category : Business & Economics
ISBN : 9783319898247

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Mathematical and Statistical Methods for Actuarial Sciences and Finance by Marco Corazza,María Durbán,Aurea Grané,Cira Perna,Marilena Sibillo Pdf

The interaction between mathematicians, statisticians and econometricians working in actuarial sciences and finance is producing numerous meaningful scientific results. This volume introduces new ideas, in the form of four-page papers, presented at the international conference Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), held at Universidad Carlos III de Madrid (Spain), 4th-6th April 2018. The book covers a wide variety of subjects in actuarial science and financial fields, all discussed in the context of the cooperation between the three quantitative approaches. The topics include: actuarial models; analysis of high frequency financial data; behavioural finance; carbon and green finance; credit risk methods and models; dynamic optimization in finance; financial econometrics; forecasting of dynamical actuarial and financial phenomena; fund performance evaluation; insurance portfolio risk analysis; interest rate models; longevity risk; machine learning and soft-computing in finance; management in insurance business; models and methods for financial time series analysis, models for financial derivatives; multivariate techniques for financial markets analysis; optimization in insurance; pricing; probability in actuarial sciences, insurance and finance; real world finance; risk management; solvency analysis; sovereign risk; static and dynamic portfolio selection and management; trading systems. This book is a valuable resource for academics, PhD students, practitioners, professionals and researchers, and is also of interest to other readers with quantitative background knowledge.

Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers

Sabri Boubaker,Duc Khuong Nguyen
Handbook Of Global Financial Markets Transformations Dependence And Risk Spillovers Book PDF

Author : Sabri Boubaker,Duc Khuong Nguyen
Publisher : World Scientific
Page : 828 pages
File Size : 51,5 Mb
Release : 2019-06-27
Category : Business & Economics
ISBN : 9789813236660

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Handbook Of Global Financial Markets: Transformations, Dependence, And Risk Spillovers by Sabri Boubaker,Duc Khuong Nguyen Pdf

The objective of this handbook is to provide the readers with insights about current dynamics and future potential transformations of global financial markets. We intend to focus on four main areas: Dynamics of Financial Markets; Financial Uncertainty and Volatility; Market Linkages and Spillover Effects; and Extreme Events and Financial Transformations and address the following critical issues, but not limited to: market integration and its implications; crisis risk assessment and contagion effects; financial uncertainty and volatility; role of emerging financial markets in the global economy; role of complex dynamics of economic and financial systems; market linkages, asset valuation and risk management; exchange rate volatility and firm-level exposure; financial effects of economic, political and social risks; link between financial development and economic growth; country risks; and sovereign debt markets.