Information Asset Pricing And Market Volatility
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Information Asset Pricing And Market Volatility
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Author : Yexiao Xu
language : en
Publisher:
Release Date : 1996
Information Asset Pricing And Market Volatility written by Yexiao Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Discretionary Trading And Asset Price Volatility
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Author : Mr.Jahangir Aziz
language : en
Publisher: International Monetary Fund
Release Date : 1995-10-01
Discretionary Trading And Asset Price Volatility written by Mr.Jahangir Aziz and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-10-01 with Business & Economics categories.
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Asset Price Dynamics Volatility And Prediction
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Author : Stephen J. Taylor
language : en
Publisher: Princeton University Press
Release Date : 2011-02-11
Asset Price Dynamics Volatility And Prediction written by Stephen J. Taylor 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 2011-02-11 with Business & Economics categories.
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Asset Prices Booms And Recessions
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Author : Willi Semmler
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-03-21
Asset Prices Booms And Recessions written by Willi Semmler 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 2007-03-21 with Business & Economics categories.
"Asset Prices, Booms and Recessions" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market. Economic activity is described by the activity of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is on theories, dynamic models and empirical evidence. Empirical applications relate to episodes of financial instability and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The current version of the book has moved to a more extensive coverage of the topics in financial economics by updating the literature in the appropriate chapters. Moreover it gives a more extensive treatment of new and more advanced topics in financial economics such as international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and dynamic portfolio decisions. Overall, the book presents material that researchers and practitioners in financial engineering need to know about economic dynamics and that economists, practitioners and policy makers need to know about the financial market.
Risk Management And Value Valuation And Asset Pricing
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Author : Mondher Bellalah
language : en
Publisher: World Scientific
Release Date : 2008-02-28
Risk Management And Value Valuation And Asset Pricing written by Mondher Bellalah and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-28 with Business & Economics categories.
This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a “high level” one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail.The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book.
Asset Pricing Real Estate And Public Finance Over The Crisis
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Author : A. Carretta
language : en
Publisher: Springer
Release Date : 2013-02-03
Asset Pricing Real Estate And Public Finance Over The Crisis written by A. Carretta and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-03 with Business & Economics categories.
The current financial crisis started from the US real estate market and after, though the increase of risk premium requested by investors and due to the lack of liquidity of all financial markets, it became a world financial crisis. A detailed analysis during the crisis focuses attention on asset management, the real estate and public sector.
Stock Market Volatility
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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 developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives. Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.
Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals
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Author : Mr.Lorenzo Giorgianni
language : en
Publisher: International Monetary Fund
Release Date : 1999-05-01
Excess Volatility And The Asset Pricing Exchange Rate Model With Unobservable Fundamentals written by Mr.Lorenzo Giorgianni and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-05-01 with Business & Economics categories.
This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.
Fund Managers Career Concerns And Asset Price Volatility
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Author : Veronica Guerrieri
language : en
Publisher: DIANE Publishing
Release Date : 2011
Fund Managers Career Concerns And Asset Price Volatility written by Veronica Guerrieri and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This is a print on demand edition of a hard to find publication. Proposes a general equilibrium model where investors hire fund managers (FM) to invest their capital either in a risky bond or in a riskless asset. There is a small fraction of informed FM with superior info. on the default probability. Looking at the past performance, investors update their beliefs on the info. of their FM and make hiring and firing decisions. This leads to career concerns which affect the investment decision of un-informed FM, generating a ¿reputational premium¿. When the default probability is high enough, un-informed FM prefer to invest in the riskless asset to reduce the probability of being fired. On the contrary, if the probability of default is low enough, investing in the risky bonds has a reputational advantage and the premium is negative.
The Stock Market Bubbles Volatility And Chaos
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Author : G.P. Dwyer
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
The Stock Market Bubbles Volatility And Chaos written by G.P. Dwyer 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 2013-03-09 with Business & Economics categories.
Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.