Modeling Time Varying Unconditional Variance By Means Of A Free Knot Spline Garch Model
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Modeling Time Varying Unconditional Variance By Means Of A Free Knot Spline Garch Model
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Author : Oliver Old
language : en
Publisher:
Release Date : 2022
Modeling Time Varying Unconditional Variance By Means Of A Free Knot Spline Garch Model written by Oliver Old 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.
The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index. About the author: The dissertation was written at the Chair of Applied Statistics and Methods of Empirical Social Research at the Faculty of Economics and Business Administration of the FernUniversität in Hagen. From 2021 Oliver Old researched in the field of applied statistics, machine learning and data science at two EU-Horizon projects at the Department of Anesthesiology, Intensive Care and Pain Therapy at the University Hospital Frankfurt.
Modeling Time Varying Unconditional Variance By Means Of A Free Knot Spline Garch Model
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Author : Oliver Old
language : en
Publisher: Springer Nature
Release Date : 2022-07-27
Modeling Time Varying Unconditional Variance By Means Of A Free Knot Spline Garch Model written by Oliver Old and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-07-27 with Business & Economics categories.
The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index.
Finite Sample Properties Of Garch Models In The Presence Of Time Varying Unconditional Variance A Simulation Study
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Author : Oliver Old
language : en
Publisher:
Release Date : 2020
Finite Sample Properties Of Garch Models In The Presence Of Time Varying Unconditional Variance A Simulation Study written by Oliver Old 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.
Statistics And Data Analysis For Financial Engineering
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Author : David Ruppert
language : en
Publisher: Springer
Release Date : 2015-04-21
Statistics And Data Analysis For Financial Engineering written by David Ruppert and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-21 with Business & Economics categories.
The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.
Financial Statistics And Data Analytics
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Author : Shuangzhe Li
language : en
Publisher: MDPI
Release Date : 2021-03-02
Financial Statistics And Data Analytics written by Shuangzhe Li and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-02 with Business & Economics categories.
Modern financial management is largely about risk management, which is increasingly data-driven. The problem is how to extract information from the data overload. It is here that advanced statistical and machine learning techniques can help. Accordingly, finance, statistics, and data analytics go hand in hand. The purpose of this book is to bring the state-of-art research in these three areas to the fore and especially research that juxtaposes these three.
Time Series Analysis And Its Applications
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Author : Robert H. Shumway
language : en
Publisher:
Release Date : 2014-01-15
Time Series Analysis And Its Applications written by Robert H. Shumway and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-01-15 with categories.
Nonlinear Time Series Analysis
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Author : Ruey S. Tsay
language : en
Publisher: John Wiley & Sons
Release Date : 2018-09-14
Nonlinear Time Series Analysis 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 2018-09-14 with Mathematics categories.
A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Financial Mathematics Volatility And Covariance Modelling
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Author : Julien Chevallier
language : en
Publisher: Routledge
Release Date : 2019-06-28
Financial Mathematics Volatility And Covariance Modelling written by Julien Chevallier and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-28 with Business & Economics categories.
This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.
Antecedents And Consequences Of Digital Human Resource Management
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Author : Christian Theres
language : en
Publisher: Springer Nature
Release Date : 2021-08-18
Antecedents And Consequences Of Digital Human Resource Management written by Christian Theres and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-18 with Business & Economics categories.
During the last decades, a considerable amount of research has been directed towards explaining the concept of Digital Human Resource Management (DHRM). Yet, a holistic assessment of DHRM antecedents and consequences with respect to possible contextual contingencies is still missing. To this end, this thesis introduces a research framework illuminating the multifaceted phenomenon of DHRM from various perspectives. An exploratory four-step meta-analytic structural equation modelling (E-MASEM) approach tailored to address the domain-specific challenges of DHRM is introduced and applied. Results identify 32 constructs associated with the DHRM usage phenomenon which are categorized into DHRM antecedents and DHRM consequences. Findings reveal that user perceptions, expectations, attitudes, and intentions are essential in predicting DHRM usage while HRM service quality and user satisfaction are found crucial in explaining other DHRM consequences. Further, practitioners are informed about the relative importance of factors for both facilitating DHRM adoption and measuring DHRM success. Lastly, this thesis also contributes to the MASEM methodology by outlining a new approach to summarize statistical inferences from multiple moderator tests.
Introductory Econometrics For Finance
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Author : Chris Brooks
language : en
Publisher: Cambridge University Press
Release Date : 2008-05-22
Introductory Econometrics For Finance written by Chris Brooks 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 2008-05-22 with Business & Economics categories.
This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.