Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures
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Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-13
Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-13 with Business & Economics categories.
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Financial Econometrics Modeling Derivatives Pricing Hedge Funds And Term Structure Models
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2015-12-26
Financial Econometrics Modeling Derivatives Pricing Hedge Funds And Term Structure Models written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-26 with Business & Economics categories.
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
Handbook Of Modeling High Frequency Data In Finance
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Author : Frederi G. Viens
language : en
Publisher: John Wiley & Sons
Release Date : 2011-11-16
Handbook Of Modeling High Frequency Data In Finance written by Frederi G. Viens 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 2011-11-16 with Business & Economics categories.
CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.
Nonlinear Financial Econometrics Forecasting Models Computational And Bayesian Models
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-21
Nonlinear Financial Econometrics Forecasting Models Computational And Bayesian Models written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-21 with Business & Economics categories.
This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.
Nonlinear Financial Econometrics Markov Switching Models Persistence And Nonlinear Cointegration
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Author : Greg N. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-08
Nonlinear Financial Econometrics Markov Switching Models Persistence And Nonlinear Cointegration written by Greg N. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-08 with Business & Economics categories.
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Data Analysis With Spss For Survey Based Research
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Author : Saiyidi Mat Roni
language : en
Publisher: Springer Nature
Release Date : 2021-06-21
Data Analysis With Spss For Survey Based Research written by Saiyidi Mat Roni and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-21 with Mathematics categories.
This book is written for research students and early-career researchers to quickly and easily learn how to analyse data using SPSS. It follows commonly used logical steps in data analysis design for research. The book features SPSS screenshots to assist rapid acquisition of the techniques required to process their research data. Rather than using a conventional writing style to discuss fundamentals of statistics, this book focuses directly on the technical aspects of using SPSS to analyse data. This approach allows researchers and research students to spend more time on interpretations and discussions of SPSS outputs, rather than on the mundane task of actually processing their data.
The Econometrics Of Financial Markets
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Author : John Y. Campbell
language : en
Publisher: Princeton University Press
Release Date : 2012-06-28
The Econometrics Of Financial Markets written by John Y. Campbell and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-28 with Business & Economics categories.
A landmark book on quantitative methods in financial markets for graduate students and finance professionals Recent decades have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is designed for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have learned into their own applications.
Econometrics Of Financial High Frequency Data
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Author : Nikolaus Hautsch
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-10-12
Econometrics Of Financial High Frequency Data written by Nikolaus Hautsch 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 2011-10-12 with Business & Economics categories.
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
Analysis Of Financial Time Series
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Author : Ruey S. Tsay
language : en
Publisher: John Wiley & Sons
Release Date : 2005-09-15
Analysis Of Financial Time Series written by Ruey S. Tsay 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 2005-09-15 with Business & Economics categories.
Provides statistical tools and techniques needed to understandtoday's financial markets The Second Edition of this critically acclaimed text provides acomprehensive and systematic introduction to financial econometricmodels and their applications in modeling and predicting financialtime series data. This latest edition continues to emphasizeempirical financial data and focuses on real-world examples.Following this approach, readers will master key aspects offinancial time series, including volatility modeling, neuralnetwork applications, market microstructure and high-frequencyfinancial data, continuous-time models and Ito's Lemma, Value atRisk, multiple returns analysis, financial factor models, andeconometric modeling via computation-intensive methods. The author begins with the basic characteristics of financialtime series data, setting the foundation for the three maintopics: Analysis and application of univariate financial timeseries Return series of multiple assets Bayesian inference in finance methods This new edition is a thoroughly revised and updated text,including the addition of S-Plus® commands and illustrations.Exercises have been thoroughly updated and expanded and include themost current data, providing readers with more opportunities to putthe models and methods into practice. Among the new material addedto the text, readers will find: Consistent covariance estimation under heteroscedasticity andserial correlation Alternative approaches to volatility modeling Financial factor models State-space models Kalman filtering Estimation of stochastic diffusion models The tools provided in this text aid readers in developing adeeper understanding of financial markets through firsthandexperience in working with financial data. This is an idealtextbook for MBA students as well as a reference for researchersand professionals in business and finance.
Handbook Of The Economics Of Finance Set Volumes 2a 2b
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Author : George M. Constantinides
language : en
Publisher: Newnes
Release Date : 2013-01-21
Handbook Of The Economics Of Finance Set Volumes 2a 2b written by George M. Constantinides and has been published by Newnes this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-21 with Business & Economics categories.
This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars