Model Selection In A Multi Hypothesis Test Setting Applications In Financial Econometrics
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Model Selection In A Multi Hypothesis Test Setting Applications In Financial Econometrics
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Author : Francesco Esposito
language : en
Publisher:
Release Date : 2018
Model Selection In A Multi Hypothesis Test Setting Applications In Financial Econometrics written by Francesco Esposito and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
In this thesis, we investigate model selection in a general setting and perform several exercises in financial econometrics. We present the multi-hypothesis testing (MHT) framework, with which we design different type of model comparisons. We distinguish between test of model performance significance, of relative and absolute model performance and apply our framework to market risk forecasting model, to latent factor jump-diffusion models employed for the estimation of the statistical measure of an equity index, as well as to equity option pricing models. We develop original tests and, with regard to the proper exercise of model selection from an initial battery of models without any reference to a benchmark model, we combine the MHT approach with the model confidence set (MCS) to deliver a novel test of model comparison that is performed along with the established version of the MCS, as well as with an alternative simplified new MCS test that are detailed in the course of this work. We collect empirical evidence concerning model comparison in several subjects. With respect to market risk forecasting models, we have found that models capturing volatility clustering or targeting directly an auto-correlated conditional distribution percentile, perform better than the target model set and in particular, better than the historical simulation, widely employed by practitioners, and better than the so called RiskMetrics model. With respect to the equity index data dynamics, we have found that the popular affine jump-diffusion model requires a CEV augmentation to perform appropriately and that those models are slightly overperformed by an alternative stochastic volatility model, characterised by stochastic hazard with high frequency small jumps. The test performed over a large model set employed in the option pricing exercise points to a wide similarity of the results obtained by the many model specifications of the superior exponential volatility model, therefore suggesting a more careful adjustment of the model complexity. The model selection framework has proven very flexible in dealing with the varied collection of statistical problems. In particular, our main contribution represented by the generalised MHT based MCS test provides a method for model selection that is robust to finite sample distribution and that has the advantage of an adjustable tolerance for false rejections, allowing conservative to aggressive testing profiles.
Multiple Hypotheses Testing In The Linear Regression Model With Applications To Economics And Finance
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Author : Raimund Alt
language : en
Publisher: Cuvillier Verlag
Release Date : 2005
Multiple Hypotheses Testing In The Linear Regression Model With Applications To Economics And Finance written by Raimund Alt and has been published by Cuvillier Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Statistical Model Selection And Prediction For Non Standard Data
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Author : Konstantin Görgen
language : en
Publisher:
Release Date : 2022*
Statistical Model Selection And Prediction For Non Standard Data written by Konstantin Görgen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022* with categories.
Econometric Analysis Of Model Selection And Model Testing
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Author : M. Ishaq Bhatti
language : en
Publisher: Routledge
Release Date : 2017-03-02
Econometric Analysis Of Model Selection And Model Testing written by M. Ishaq Bhatti and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-02 with Business & Economics categories.
In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
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.
Handbook Of Multi Commodity Markets And Products
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Author : Andrea Roncoroni
language : en
Publisher: John Wiley & Sons
Release Date : 2015-02-19
Handbook Of Multi Commodity Markets And Products written by Andrea Roncoroni 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 2015-02-19 with Business & Economics categories.
Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
Testing Based Forward Model Selection
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Author : Damian Kozbur
language : en
Publisher:
Release Date : 2018
Testing Based Forward Model Selection written by Damian Kozbur and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper introduces and analyzes a procedure called Testing-Based Forward Model Selection (TBFMS) in linear regression problems. This procedure inductively selects covariates that add predictive power into a working statistical model before estimating a final regression. The criterion for deciding which covariate to include next and when to stop including covariates is derived from a profile of traditional statistical hypothesis tests. This paper proves probabilistic bounds for prediction error and the number of selected covariates, which depend on the quality of the tests. The bounds are then specialized to a case with heteroskedastic data with tests derived from Huber-Eicker-White standard errors. TBFMS performance is compared to Lasso and Post-Lasso in simulation studies. TBFMS is then analyzed as a component into larger post-model selection estimation problems for structural economic parameters. Finally, TBFMS is used to illustrate an empirical application to estimating determinants of economic growth.
The Role Of Hypothesis Testing In The Molding Of Econometric Models
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Author : Kevin D. Hoover
language : en
Publisher:
Release Date : 2012
The Role Of Hypothesis Testing In The Molding Of Econometric Models written by Kevin D. Hoover and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
The paper is a keynote lecture from the Tilburg-Madrid Conference on Hypothesis Tests: Foundations and Applications at the Universidad Nacional de Educación a Distancia (UNED) Madrid, Spain, 15-16 December 2011. It addresses the role of tests of statistical hypotheses (specification tests) in selection of a statistically admissible model in which to evaluate economic hypotheses. The issue is formulated in the context of recent philosophical accounts on the nature of models and related to some results in the literature on specification search.
Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes
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Author : Cheng Few Lee
language : en
Publisher: World Scientific
Release Date : 2020-07-30
Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-30 with Business & Economics categories.
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Microeconometrics
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Author : A. Colin Cameron
language : en
Publisher: Cambridge University Press
Release Date : 2005-05-09
Microeconometrics written by A. Colin Cameron 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 2005-05-09 with Business & Economics categories.
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.