Macroeconometric Models For Portfolio Management

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Macroeconometric Models for Portfolio Management

Jeremy Kwok
Macroeconometric Models for Portfolio Management Book PDF

Author : Jeremy Kwok
Publisher : Vernon Press
Page : 242 pages
File Size : 46,8 Mb
Release : 2021-09-07
Category : Business & Economics
ISBN : 9781648892684

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Macroeconometric Models for Portfolio Management by Jeremy Kwok Pdf

‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.

Inside a Modern Macroeconometric Model

Alan A. Powell,Christopher W. Murphy
Inside a Modern Macroeconometric Model Book PDF

Author : Alan A. Powell,Christopher W. Murphy
Publisher : Springer Science & Business Media
Page : 465 pages
File Size : 43,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642590696

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Inside a Modern Macroeconometric Model by Alan A. Powell,Christopher W. Murphy Pdf

As Ken Wallis (1993) has pOinted out, all macroeconomic forecasters and policy analysts use economic models. That is, they have a way of going from assumptions about macroeconomic policy and the international environment, to a prediction of the likely future state of the economy. Some people do this in their heads. Increasingly though, forecasting and policy analysis is based on a formal, explicit model, represented by a set of mathematical equations and solved by computer. This provides a framework for handling, in a consistent and systematic manner, the ever-increasing amounts of relevant information. Macroeconometric modelling though, is an inexact science. A manageable model must focus only on the major driving forces in a complex economy made up of millions of households and fIrms. International economic agencies such as the IMF and OECD, and most treasuries and central banks in western countries, use macroeconometric models in their forecasting and policy analysis. Models are also used for teaching and research in universities, as well as for commercial forecasting in the private sector.

Macroeconometric Models

Władysław Welfe
Macroeconometric Models Book PDF

Author : Władysław Welfe
Publisher : Springer Science & Business Media
Page : 435 pages
File Size : 44,9 Mb
Release : 2013-02-15
Category : Business & Economics
ISBN : 9783642344688

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Macroeconometric Models by Władysław Welfe Pdf

This book gives a comprehensive description of macroeconometric modeling and its development over time. The first part depicts the history of macroeconometric model building, starting with Jan Tinbergen's and Lawrence R. Klein's contributions. It is unique in summarizing the development and specific structure of macroeconometric models built in North America, Europe, and various other parts of the world. The work thus offers an extensive source for researchers in the field. The second part of the book covers the systematic characteristics of macroeconometric models. It includes the household and enterprise sectors, disequilibria, financial flows, and money market sectors.

Solving for Country Portfolios in Open Economy Macro Models

Michael B. Devereux,Alan Sutherland
Solving for Country Portfolios in Open Economy Macro Models Book PDF

Author : Michael B. Devereux,Alan Sutherland
Publisher : International Monetary Fund
Page : 34 pages
File Size : 50,9 Mb
Release : 2007-12
Category : Business & Economics
ISBN : UCSD:31822035536135

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Solving for Country Portfolios in Open Economy Macro Models by Michael B. Devereux,Alan Sutherland Pdf

This paper presents a general approximation method for characterizing time-varying equilibrium portfolios in a two-country dynamic general equilibrium model. the method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or incomplete, and it can be used for models of any dimension. Moreover, the approximation provides simple, easily interpretable closed form solutions for the dynamics of equilibrium portfolios.

Testing Macroeconometric Models

Ray C. Fair
Testing Macroeconometric Models Book PDF

Author : Ray C. Fair
Publisher : Harvard University Press
Page : 462 pages
File Size : 45,5 Mb
Release : 1994
Category : Business & Economics
ISBN : 0674875036

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Testing Macroeconometric Models by Ray C. Fair Pdf

In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. Testing Macroeconometric Models also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries. After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations. Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists.

Portfolio Risk Analysis

Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk
Portfolio Risk Analysis Book PDF

Author : Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk
Publisher : Princeton University Press
Page : 400 pages
File Size : 43,6 Mb
Release : 2010-03-15
Category : Business & Economics
ISBN : 9781400835294

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Portfolio Risk Analysis by Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk Pdf

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Macroeconomic Modelling in a Changing World

Christopher Allen,Chris Allen,Stephen Hall
Macroeconomic Modelling in a Changing World Book PDF

Author : Christopher Allen,Chris Allen,Stephen Hall
Publisher : Unknown
Page : 362 pages
File Size : 48,5 Mb
Release : 1997-02-12
Category : Business & Economics
ISBN : UOM:39015040648134

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Macroeconomic Modelling in a Changing World by Christopher Allen,Chris Allen,Stephen Hall Pdf

Macroeconomic Modelling in a Changing World Towards a Common Approach Edited by Chris Allen and Stephen Hall Practical economic model building has changed enormously over the last twenty years. Econometrics has become much more sophisticated with the introduction of cointegration and non-stationary time series analysis. The use of economic theory in the form of complex non-linear cross equation restrictions is now much more widespread and the explicit modelling of expectations and credibility effects is more satisfactory. This has meant that the old style macroeconomic models which were complex by virtue of their size alone have been replaced by a generation of new models which embody complex theory and estimation to provide more superior forecasting and policy tools. Macroeconomic Modelling in a Changing World outlines the modelling approach which has been adopted at the Centre for Economic Forecasting at the London Business School, one of the world’s leading research institutes into macroeconomic modelling, in building its own models. Using explicit examples and illustrations, the authors examine the latest state-of-the-art models, and answer questions such as: How are modern econometrics used by model builders? How should we deal with structural change? How should expectations be modelled? How are models used in practice? Economics

Income Distribution in Macroeconomic Models

Giuseppe Bertola,Reto Foellmi,Josef Zweimüller
Income Distribution in Macroeconomic Models Book PDF

Author : Giuseppe Bertola,Reto Foellmi,Josef Zweimüller
Publisher : Princeton University Press
Page : 439 pages
File Size : 43,6 Mb
Release : 2014-09-28
Category : Business & Economics
ISBN : 9780691164595

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Income Distribution in Macroeconomic Models by Giuseppe Bertola,Reto Foellmi,Josef Zweimüller Pdf

This book looks at the distribution of income and wealth and the effects that this has on the macroeconomy, and vice versa. Is a more equal distribution of income beneficial or harmful for macroeconomic growth, and how does the distribution of wealth evolve in a market economy? Taking stock of results and methods developed in the context of the 1990s revival of growth theory, the authors focus on capital accumulation and long-run growth. They show how rigorous, optimization-based technical tools can be applied, beyond the representative-agent framework of analysis, to account for realistic market imperfections and for political-economic interactions. The treatment is thorough, yet accessible to students and nonspecialist economists, and it offers specialist readers a wide-ranging and innovative treatment of an increasingly important research field. The book follows a single analytical thread through a series of different growth models, allowing readers to appreciate their structure and crucial assumptions. This is particularly useful at a time when the literature on income distribution and growth has developed quickly and in several different directions, becoming difficult to overview.

Dynamic Portfolio Theory and Management

Richard E. Oberuc
Dynamic Portfolio Theory and Management Book PDF

Author : Richard E. Oberuc
Publisher : McGraw Hill Professional
Page : 344 pages
File Size : 41,8 Mb
Release : 2004
Category : Business & Economics
ISBN : 0071426698

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Dynamic Portfolio Theory and Management by Richard E. Oberuc Pdf

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Macroeconomic Modeling And Policy Analysis For Less Developed Countries

Mohammed F Khayum
Macroeconomic Modeling And Policy Analysis For Less Developed Countries Book PDF

Author : Mohammed F Khayum
Publisher : Routledge
Page : 215 pages
File Size : 47,5 Mb
Release : 2019-03-07
Category : Social Science
ISBN : 9780429694721

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Macroeconomic Modeling And Policy Analysis For Less Developed Countries by Mohammed F Khayum Pdf

This book provides an overview of macroeconometric modeling for less developed countries, a description of the structure and performance of Guyana's economy, an empirical testing of the model using annual data for Guyana, and a simulation approach to policy evaluation.

Models for Dynamic Macroeconomics

Fabio C. Bagliano,Giuseppe Bertola
Models for Dynamic Macroeconomics Book PDF

Author : Fabio C. Bagliano,Giuseppe Bertola
Publisher : Oxford University Press on Demand
Page : 290 pages
File Size : 40,7 Mb
Release : 2004
Category : Business & Economics
ISBN : 9780199266821

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Models for Dynamic Macroeconomics by Fabio C. Bagliano,Giuseppe Bertola Pdf

This title provides the student with key methodological tools for the dynamic analysis of a core selection of macroeconomic phenomena, including consumption and investment choices, employment and unemployment outcomes, and economic growth.

Models for Dynamic Macroeconomics

Fabio-Cesare Bagliano,Giuseppe Bertola
Models for Dynamic Macroeconomics Book PDF

Author : Fabio-Cesare Bagliano,Giuseppe Bertola
Publisher : OUP Oxford
Page : 296 pages
File Size : 53,6 Mb
Release : 2004-02-05
Category : Business & Economics
ISBN : 9780191532931

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Models for Dynamic Macroeconomics by Fabio-Cesare Bagliano,Giuseppe Bertola Pdf

Dynamic Approaches to Macroeconomics provides the advanced student with key methodological tools for the dynamic analysis of a core selection of macroeconomic phenomena, including consumption and investment choices, employment and unemployment outcomes, and economic growth. The technical treatment of these tools will enable the student to handle current journal literature, while not assuming any particular familiarity with advanced analytical tools or mathematical notions. As these tools are introduced, they are related to particular applications to illustrate their use. Chapters are linked by various formal and substantive threads. Discrete-time optimization under uncertainty, introduced in Chapter 1, is motivated and discussed by applications to consumption theory, with particular attention to empirical implementation. Chapter 2 focuses on continuous-time optimization techniques, and discusses the relevant insights in the context of partial-equilibrium investment models. Chapter 3 revisits many of the previous chapters' formal derivations with applications to dynamic labour demand, in comparison to optimal investment models, and characterizes labor market equilibrium when not only individual firms' labor demand, but also individual labor supply by workers, is subject to adjustment costs. Chapter 4 proposes broader applications of methods introduced in the previous chapters and studies continuous-time equilibrium dynamics of representative agent economies, featuring both consumption and investment choices, with applications to long-run growth frameworks of analysis. Chapter 5 illustrates the role of decentralized trading in determining aggregate equilibria, and characterizes aggregate labor market dynamics in the presence of frictional unemployment. Chapters 4 and 5 pay particular attention to strategic interactions and externalities: even when each agent correctly solves his or her individual dynamic problem, modern microfounded macroeconomic models recognize that macroeconomic equilibrium need not have unambiguously desirable properties. By bridging the gap between undergraduate economics and modern microfounded macroeconomic research, this book will be of interest to graduate students in economics, and as a technical reference for economic researchers.

Specification, Estimation, and Analysis of Macroeconometric Models

Ray C. Fair
Specification Estimation and Analysis of Macroeconometric Models Book PDF

Author : Ray C. Fair
Publisher : Harvard University Press
Page : 504 pages
File Size : 50,5 Mb
Release : 1984
Category : Business & Economics
ISBN : 0674831802

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Specification, Estimation, and Analysis of Macroeconometric Models by Ray C. Fair Pdf

This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconomic models. Ray Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multicountry model, Sargent's classical macroeconomic model, autoregressive and vector autoregressive models, and a small (twelve equation) linear structural model. He devotes a good deal of attention to the difficult and often neglected problem of moving from theoretical to econometric models. In addition, he provides an extensive discussion of optimal control techniques and methods for estimating and analyzing rational expectations models. A computer program that handles all the techniques in the book is available from the author, making it possible to use the techniques with little additional programming. The book presents the logic of this program. A smaller program for personal microcomputers for analysis of Fair's United States model is available from Urban Systems Research & Engineering, Inc. Anyone wanting to learn how to use large macroeconomic models, including researchers, graduate students, economic forecasters, and people in business and government both in the United States and abroad, will find this an essential guidebook.

A Course in Macroeconomic Modelling and Forecasting

John D. Whitley
A Course in Macroeconomic Modelling and Forecasting Book PDF

Author : John D. Whitley
Publisher : Unknown
Page : 322 pages
File Size : 40,6 Mb
Release : 1994
Category : Econometric models
ISBN : UCSC:32106013576548

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A Course in Macroeconomic Modelling and Forecasting by John D. Whitley Pdf

This textbook is a thorough introduction to the theory and practice of macroeconomic modelling. It provides a rigorous exposition of the theory of modelling and examines the main UK and European macroeconomic models. Policy-relevant conclusions are drawn from the models, including new areas such as wealth effects and rational expectations. The text compares UK macroeconomic models with key US and European models, with an emphasis on policy analysis and the ERM.

Active Equity Portfolio Management

Frank J. Fabozzi
Active Equity Portfolio Management Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 346 pages
File Size : 49,7 Mb
Release : 1998-01-15
Category : Business & Economics
ISBN : 1883249309

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Active Equity Portfolio Management by Frank J. Fabozzi Pdf

Active Equity Portfolio Management provides an overview of the philosophies, methodologies, and strategies involved in attempting to beat the market. The book covers a host of relevant topics including equity benchmarks, equity style management, tactical asset allocation, and the use of derivatives to enhance returns. The contributors include top professionals from leading Wall Street firms, as well as top academics.