Factor Overnight Garch It Models
DOWNLOAD
Download Factor Overnight Garch It Models PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Factor Overnight Garch It Models book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Factor Overnight Garch It Models
DOWNLOAD
Author : Donggyu Kim
language : en
Publisher:
Release Date : 2023
Factor Overnight Garch It Models written by Donggyu Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
This paper introduces a unified factor overnight GARCH-Itô Models model for large volatility matrix estimation and prediction. To account for whole-day market dynamics, the proposed model has two different instantaneous factor volatility processes for the open-to-close and close-to-open periods, while each embeds the discrete-time multivariate GARCH model structure. To estimate latent factor volatility, we assume the low rank plus sparse structure and employ non-parametric estimation procedures.Then, based on the connection between the discrete-time model structure and the continuous-time diffusion process, we propose a weighted least squares estimation procedure with the non-parametric factor volatility estimator and establish its asymptotic theorems.
Recent Advances In Theory And Methods For The Analysis Of High Dimensional And High Frequency Financial Data
DOWNLOAD
Author : Norman R. Swanson
language : en
Publisher: MDPI
Release Date : 2021-08-31
Recent Advances In Theory And Methods For The Analysis Of High Dimensional And High Frequency Financial Data written by Norman R. Swanson and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-31 with Business & Economics categories.
Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.
The Asian Crisis And Stock Market Co Movements
DOWNLOAD
Author : Taiki Lee
language : en
Publisher:
Release Date : 2004
The Asian Crisis And Stock Market Co Movements written by Taiki Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Financial crises categories.
Handbook Of Financial Econometrics And Statistics
DOWNLOAD
Author : Cheng-Few Lee
language : en
Publisher: Springer
Release Date : 2014-09-28
Handbook Of Financial Econometrics And Statistics written by Cheng-Few Lee and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-28 with Business & Economics categories.
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Handbook Of Hydroinformatics
DOWNLOAD
Author : Saeid Eslamian
language : en
Publisher: Elsevier
Release Date : 2022-11-30
Handbook Of Hydroinformatics written by Saeid Eslamian and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-30 with Technology & Engineering categories.
Classic Soft-Computing Techniques is the first volume of the three, in the Handbook of HydroInformatics series.? Through this comprehensive, 34-chapters work, the contributors explore the difference between traditional computing, also known as hard computing, and soft computing, which is based on the importance given to issues like precision, certainty and rigor. The chapters go on to define fundamentally classic soft-computing techniques such as Artificial Neural Network, Fuzzy Logic, Genetic Algorithm, Supporting Vector Machine, Ant-Colony Based Simulation, Bat Algorithm, Decision Tree Algorithm, Firefly Algorithm, Fish Habitat Analysis, Game Theory, Hybrid Cuckoo–Harmony Search Algorithm, Honey-Bee Mating Optimization, Imperialist Competitive Algorithm, Relevance Vector Machine, etc.?It is a fully comprehensive handbook providing all the information needed around classic soft-computing techniques. This volume is a true interdisciplinary work, and the audience includes postgraduates and early career researchers interested in Computer Science, Mathematical Science, Applied Science, Earth and Geoscience, Geography, Civil Engineering, Engineering, Water Science, Atmospheric Science, Social Science, Environment Science, Natural Resources, and Chemical Engineering. Key insights from global contributors in the fields of data management research, climate change and resilience, insufficient data problem, etc. Offers applied examples and case studies in each chapter, providing the reader with real world scenarios for comparison. Introduces classic soft-computing techniques, necessary for a range of disciplines.
Do Bulls And Bears Move Across Borders
DOWNLOAD
Author : Wen-Ling Lin
language : en
Publisher:
Release Date : 1991
Do Bulls And Bears Move Across Borders written by Wen-Ling Lin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Stocks categories.
This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York daytime hours overlap with Tokyo overnight hours. We find that in general Tokyo (Mew York) daytime returns are significantly correlated with New York (Tokyo) overnight returns. This suggests that information revealed during the trading hours of one market has a global impact on the returns of the other market. One exception is that after the October 1987 Crash, the Tokyo overnight returns were not significantly affected by New York daytime returns. We propose and estimate a signal extraction model with GARCH processes to determine the global factor from daytime returns. This is the problem of setting the opening price of a domestic market conditional on the foreign daytime returns. We also investigate lagged return and volatility spillovers. Except for a lagged return spillover from New York to Tokyo for the period after the Crash, there are no significant lagged spillovers in returns or in volatilities.
Stock Market Modeling And Forecasting
DOWNLOAD
Author : Xiaolian Zheng
language : en
Publisher: Springer
Release Date : 2013-04-05
Stock Market Modeling And Forecasting written by Xiaolian Zheng and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-05 with Technology & Engineering categories.
Stock Market Modeling and Forecasting translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a financial market exhibits fast and slow dynamics corresponding to external (such as company value and profitability) and internal forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent. The authors present work on both developed and developing markets in the shape of the US, Hong Kong, Chinese and Singaporean stock markets. Results from all these sources demonstrate the efficiency of the model framework in identifying significant influences and the quality of its predictive ability; promising results are also obtained by applying the model framework to the forecasting of major market-turning periods. Having shown that system-theoretic ideas can form the core of a novel and effective basis for stock market analysis, the book is completed by an indication of possible and likely future expansions of the research in this area.
Emerging Markets And The Global Economy
DOWNLOAD
Author : Mohammed El Hedi Arouri
language : en
Publisher: Academic Press
Release Date : 2013-12-26
Emerging Markets And The Global Economy written by Mohammed El Hedi Arouri and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-26 with Business & Economics categories.
Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
Stock Market Volatility
DOWNLOAD
Author : Greg N. Gregoriou
language : en
Publisher: CRC Press
Release Date : 2009-04-08
Stock Market Volatility written by Greg N. Gregoriou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-08 with Business & Economics categories.
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Inflation Targeting
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2002
Inflation Targeting written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Anti-inflationary policies categories.