Garch Multivariati Per Il Risk Management
DOWNLOAD
Download Garch Multivariati Per Il Risk Management PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Garch Multivariati Per Il Risk Management 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
Empirical Comparison Of Multivariate Garch Models For Estimation Of Intraday Value At Risk
DOWNLOAD
Author : Takayuki Morimoto
language : en
Publisher:
Release Date : 2008
Empirical Comparison Of Multivariate Garch Models For Estimation Of Intraday Value At Risk written by Takayuki Morimoto 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.
An empirical comparison of forecasting performance is undertaken for multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models in the estimation of intraday value at risk (VaR). This comparison aims to evaluate the applicability of such models to risk management using high-resolution intraday data as a possible method for analyzing intraday downside risk. The one-step-ahead VaR is determined using time-transformed data, and performance of five multivariate models is compared on the basis of the frequency that the estimated VaR exceeds the observed data and a likelihood ratio test of this rate with respect to real returns. It is thus revealed that existing GARCH models can be readily employed for risk management in an intraday framework simply by transforming the high-resolution irregularly spaced data into a regular time series. The Dynamic Conditional Correlation model is found to provide the best forecasting performance among the multivariate GARCH models tested, and this model is thus considered favorable for practical risk management.
A Structural Garch Model An Application To Portfolio Risk Management
DOWNLOAD
Author : Walter Albert De Wet
language : en
Publisher:
Release Date : 2013
A Structural Garch Model An Application To Portfolio Risk Management written by Walter Albert De Wet and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The primary objective of this study is to decompose the conditional covariance matrix of a system of variables. A structural GARCH model is proposed which makes use of existing multivariate GARCH (MGARCH) models to decompose the covariance matrix. The variables analysed in the study are the All Share index (ALSI) on the Johannesburg stock exchange, the South African Rand/US Dollar exchange rate (R/
Garch Multivariati Per Il Risk Management
DOWNLOAD
Author : Eduardo Rossi
language : en
Publisher:
Release Date : 1998
Garch Multivariati Per Il Risk Management written by Eduardo Rossi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Handbook Of Financial Time Series
DOWNLOAD
Author : Torben Gustav Andersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
Handbook Of Financial Time Series written by Torben Gustav Andersen 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 2009-04-21 with Business & Economics categories.
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Networks In Risk Spillovers
DOWNLOAD
Author : Monica Billio
language : en
Publisher:
Release Date : 2020
Networks In Risk Spillovers written by Monica Billio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Understanding Financial Risk Management
DOWNLOAD
Author : Angelo Corelli
language : en
Publisher: Emerald Group Publishing
Release Date : 2024-05-27
Understanding Financial Risk Management written by Angelo Corelli 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 2024-05-27 with Business & Economics categories.
Financial risk management is a topic of primary importance in financial markets. It is important to learn how to measure and control risk, how to be primed for the opportunity of compensative return, and how to avoid useless exposure.
Garch Models
DOWNLOAD
Author : Christian Francq
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-24
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 2011-06-24 with Mathematics categories.
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 coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.
An Empirical Comparison Of Multivariate Garch Models With A Portfolio Management Application For The A Share In Shanghai Stock Exchange
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2021
An Empirical Comparison Of Multivariate Garch Models With A Portfolio Management Application For The A Share In Shanghai Stock Exchange written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Elements Of Financial Risk Management
DOWNLOAD
Author : Peter Christoffersen
language : en
Publisher: Academic Press
Release Date : 2011-11-10
Elements Of Financial Risk Management written by Peter Christoffersen and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-10 with Business & Economics categories.
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises
Handbook Of Quantitative Finance And Risk Management
DOWNLOAD
Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-14
Handbook Of Quantitative Finance And Risk Management written by Cheng-Few Lee 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 2010-06-14 with Business & Economics categories.
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.