Convolution Copula Econometrics
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Convolution Copula Econometrics
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Author : Umberto Cherubini
language : en
Publisher: Springer
Release Date : 2016-12-01
Convolution Copula Econometrics written by Umberto Cherubini and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-01 with Business & Economics categories.
This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.
Dynamic Copula Methods In Finance
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Author : Umberto Cherubini
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-20
Dynamic Copula Methods In Finance written by Umberto Cherubini 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 2011-10-20 with Business & Economics categories.
The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.
New Perspectives And Paradigms In Applied Economics And Business
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Author : William C. Gartner
language : en
Publisher: Springer Nature
Release Date : 2024-04-23
New Perspectives And Paradigms In Applied Economics And Business written by William C. Gartner and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-04-23 with Business & Economics categories.
This book features a collection of high-quality and peer-reviewed papers from the 2023 7th International Conference on Applied Economics and Business, which was held in Copenhagen, Denmark, during August 24-26, 2023. ICAEB is held annually as a platform for the presentation of new advances and research results in the fields of applied economics and business. Applied economics is a way of dealing with esoteric economic concepts in a practical and analytical way. It allows for decisions to be made that are underlined by theoretical economic principles but utilized in such a way that they transform into real work applications.The contributors cover topics such as environment, development, finance, forensics, information, institutions, international, labor, management, mathematics, currency, tourism and many more. Applied Economics affects all aspects of life and science and it is brought to the forefront in this collection of papers. The conference, with its aim to bring together economists from different fields, lends itself to a natural and rich collection of scientific papers all focused on the practical application of economic principles. The scope of this collection of papers will be useful to academics and practitioners who look to economics to help solve problems.
Market Risk Analysis Practical Financial Econometrics
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Author : Carol Alexander
language : en
Publisher: John Wiley & Sons
Release Date : 2008-05-27
Market Risk Analysis Practical Financial Econometrics written by Carol Alexander 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 2008-05-27 with Business & Economics categories.
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Random Variables For Scientists And Engineers
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Author : Rajan Chattamvelli
language : en
Publisher: Springer Nature
Release Date : 2024-05-27
Random Variables For Scientists And Engineers written by Rajan Chattamvelli and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-05-27 with Mathematics categories.
This book provides an introductory overview of random variables and their transformations. The authors approach the topic with statistics students in mind, along with researchers in various fields who are interested in data analysis. The book begins with by defining and explaining mathematical expectation. The authors then discuss transformations of random variables, including distribution functions and special functions. The book also covers joint probability distribution and its applications. The authors have updated and expanded upon their writing on these topics, which they originally covered in their previous book, Statistics for Scientists and Engineers.
Copulae In Mathematical And Quantitative Finance
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Author : Piotr Jaworski
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-18
Copulae In Mathematical And Quantitative Finance written by Piotr Jaworski 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 2013-06-18 with Business & Economics categories.
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.
Econometrics And Risk Management
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Author : Thomas B. Fomby
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-12-01
Econometrics And Risk Management written by Thomas B. Fomby and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-01 with Business & Economics categories.
Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.
Market Risk Analysis Boxset
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Author : Carol Alexander
language : en
Publisher: John Wiley & Sons
Release Date : 2009-02-24
Market Risk Analysis Boxset written by Carol Alexander 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 2009-02-24 with Business & Economics categories.
Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.
Copula Modeling
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Author : Pravin K. Trivedi
language : en
Publisher: Now Publishers Inc
Release Date : 2007
Copula Modeling written by Pravin K. Trivedi and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
Copula Modeling explores the copula approach for econometrics modeling of joint parametric distributions. Copula Modeling demonstrates that practical implementation and estimation is relatively straightforward despite the complexity of its theoretical foundations. An attractive feature of parametrically specific copulas is that estimation and inference are based on standard maximum likelihood procedures. Thus, copulas can be estimated using desktop econometric software. This offers a substantial advantage of copulas over recently proposed simulation-based approaches to joint modeling. Copulas are useful in a variety of modeling situations including financial markets, actuarial science, and microeconometrics modeling. Copula Modeling provides practitioners and scholars with a useful guide to copula modeling with a focus on estimation and misspecification. The authors cover important theoretical foundations. Throughout, the authors use Monte Carlo experiments and simulations to demonstrate copula properties
Heavy Tails And Copulas
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Author : Rustam Ibragimov
language : en
Publisher:
Release Date : 2017
Heavy Tails And Copulas written by Rustam Ibragimov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with BUSINESS & ECONOMICS categories.
"This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails — two particularly valuable tools of today's research in economics, finance, econometrics and other fields — in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions — all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence."--Publisher's website.