Dynamic Models For Volatility And Heavy Tails
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Dynamic Models For Volatility And Heavy Tails
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Author : Andrew C. Harvey
language : en
Publisher: Cambridge University Press
Release Date : 2013-04-22
Dynamic Models For Volatility And Heavy Tails written by Andrew C. Harvey 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 2013-04-22 with Business & Economics categories.
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
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Author : Andrew C. Harvey
language : en
Publisher: Cambridge University Press
Release Date : 2013-04-22
Dynamic Models For Volatility And Heavy Tails written by Andrew C. Harvey 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 2013-04-22 with Business & Economics categories.
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.
Financial Mathematics Volatility And Covariance Modelling
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Author : Julien Chevallier
language : en
Publisher: Routledge
Release Date : 2019-06-28
Financial Mathematics Volatility And Covariance Modelling written by Julien Chevallier and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-28 with Business & Economics categories.
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.
Dynamic Factor Models
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Author : Siem Jan Koopman
language : en
Publisher: Emerald Group Publishing
Release Date : 2016-01-08
Dynamic Factor Models written by Siem Jan Koopman 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 2016-01-08 with Business & Economics categories.
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.
Garch Models
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Author : Christian Francq
language : en
Publisher: John Wiley & Sons
Release Date : 2019-06-10
Garch Models written by Christian Francq 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 2019-06-10 with Mathematics categories.
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.
Advanced Methods In Statistics Data Science And Related Applications
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Author : Matilde Bini
language : en
Publisher: Springer Nature
Release Date : 2024-10-16
Advanced Methods In Statistics Data Science And Related Applications written by Matilde Bini and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-10-16 with Computers categories.
This book contains a selection of the improved contributions submitted by participants at the conference of the Italian Statistical Society - SIS 2022 held in Caserta 22-24 June 2022. The scientific community of Italian statistics, which gathers around the SIS, is paying particular attention to the development of statistical techniques increasingly oriented toward the processing of large data, mainly, of complex data. The main goal is to provide the analysis of the data and the interpretability of the obtained results, with a view to decision support and the reliability of the data outcomes. The aim of this volume is to show some of the most relevant contributions of statistical and data analysis methods in preserving the quality of the information to be processed, especially when it comes from different, often non-official sources; as well as in the extraction of knowledge from complex data (textual, network, unstructured and multivalue) and in the explicability of results. Data Science today represents a broad domain of knowledge development from data, where statistical and data analysis methods can make an important contribution in the different domains where data management and processing are required. This volume is addressed to researchers but also to Ph.D. and MSc students in the field of Statistics and Data Science to acquaint them with some of the most recent developments towards which statistical research is orienting, in prevalence in Italy.
Mathematical And Statistical Methods For Actuarial Sciences And Finance
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Author : Marco Corazza
language : en
Publisher: Springer
Release Date : 2018-07-17
Mathematical And Statistical Methods For Actuarial Sciences And Finance written by Marco Corazza and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-17 with Business & Economics categories.
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.
Directional Statistics For Innovative Applications
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Author : Ashis SenGupta
language : en
Publisher: Springer Nature
Release Date : 2022-06-15
Directional Statistics For Innovative Applications written by Ashis SenGupta and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-15 with Mathematics categories.
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.
Linear Models And Time Series Analysis
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Author : Marc S. Paolella
language : en
Publisher: John Wiley & Sons
Release Date : 2018-10-10
Linear Models And Time Series Analysis written by Marc S. Paolella 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 2018-10-10 with Mathematics categories.
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.
Systemic Risk Tomography
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Author : Monica Billio
language : en
Publisher: Elsevier
Release Date : 2016-11-25
Systemic Risk Tomography written by Monica Billio and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-25 with Business & Economics categories.
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