Asymmetric Dependence In Finance
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Asymmetric Dependence In Finance
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Author : Jamie Alcock
language : en
Publisher: John Wiley & Sons
Release Date : 2018-06-05
Asymmetric Dependence In Finance written by Jamie Alcock and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-05 with Business & Economics categories.
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
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Author : Jamie Alcock
language : en
Publisher: John Wiley & Sons
Release Date : 2018-02-02
Asymmetric Dependence In Finance written by Jamie Alcock and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-02 with Business & Economics categories.
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 Patterns In Financial Time Series
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Author : Manuel Ammann
language : en
Publisher:
Release Date : 2008
Asymmetric Dependence Patterns In Financial Time Series written by Manuel Ammann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Copulae And Multivariate Probability Distributions In Finance
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Author : Alexandra Dias
language : en
Publisher: Routledge
Release Date : 2013-08-21
Copulae And Multivariate Probability Distributions In Finance written by Alexandra Dias and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-21 with Business & Economics categories.
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.
Extreme Financial Risks
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Author : Yannick Malevergne
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-01-16
Extreme Financial Risks written by Yannick Malevergne and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-16 with Mathematics categories.
"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
The Oxford Handbook Of Entrepreneurial Finance
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Author : Douglas Cumming
language : en
Publisher: OUP USA
Release Date : 2012-03-22
The Oxford Handbook Of Entrepreneurial Finance written by Douglas Cumming and has been published by OUP USA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-22 with Business & Economics categories.
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.
Quantile Regression
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Author : Roger Koenker
language : en
Publisher: Cambridge University Press
Release Date : 2005-05-05
Quantile Regression written by Roger Koenker and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-05 with Business & Economics categories.
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.
Asset Pricing Under Asymmetric Information
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Author : Markus Konrad Brunnermeier
language : en
Publisher: OUP Oxford
Release Date : 2001
Asset Pricing Under Asymmetric Information written by Markus Konrad Brunnermeier and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
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.
Empirical Finance
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Author : Shigeyuki Hamori
language : en
Publisher: MDPI
Release Date : 2019-03-25
Empirical Finance written by Shigeyuki Hamori and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-25 with Business & Economics categories.
There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.
Statistical Applications From Clinical Trials And Personalized Medicine To Finance And Business Analytics
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Author : Jianchang Lin
language : en
Publisher: Springer
Release Date : 2016-11-13
Statistical Applications From Clinical Trials And Personalized Medicine To Finance And Business Analytics written by Jianchang Lin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-13 with Medical categories.
The papers in this volume represent a broad, applied swath of advanced contributions to the 2015 ICSA/Graybill Applied Statistics Symposium of the International Chinese Statistical Association, held at Colorado State University in Fort Collins. The contributions cover topics that range from statistical applications in business and finance to applications in clinical trials and biomarker analysis. Each papers was peer-reviewed by at least two referees and also by an editor. The conference was attended by over 400 participants from academia, industry, and government agencies around the world, including from North America, Asia, and Europe.