Modelling Extremal Stock Returns In A Stable Paretian Environment
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Modelling Extremal Stock Returns In A Stable Paretian Environment
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Author : Hendrik Kohleick
language : en
Publisher: GRIN Verlag
Release Date : 2007-10
Modelling Extremal Stock Returns In A Stable Paretian Environment written by Hendrik Kohleick and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-10 with Mathematics categories.
Diploma Thesis from the year 2003 in the subject Statistics, grade: 1,0, University of Cologne (Seminar f r Wirtschafts- und Sozialstatistik), 86 entries in the bibliography, language: English, abstract: Finance experts and statisticians still have considerable difficulties to understand extremal movements in stock prices. Basically, there are two approaches to shed some light on this question: 1. Tail inference based on full parametric assumptions 2. "Letting the tails speak for themselves" This paper discusses both approaches, the stable Paretian distribution serving as a conceptual framework for the analysis.
Real Stock Returns
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Author : Prasad V. Bidarkota
language : en
Publisher:
Release Date : 1997
Real Stock Returns written by Prasad V. Bidarkota and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Dividends categories.
Modeling Fat Tails In Stock Returns
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Author : Matteo Bonato
language : en
Publisher:
Release Date : 2009
Modeling Fat Tails In Stock Returns written by Matteo Bonato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
In this paper a new multivariate volatility model is proposed. It combines the appealing properties of the stable Paretian distribution to model the heavy tails with the GARCH model to capture the volatility clustering. We assume that multivariate asset-returns of financial stocks follow a sub-Gaussian distribution, which is a particular multivariate stable distribution. In this way the characteristic function of the fitted returns has a tractable expression and the density function can be recovered by numerical methods. A multivariate GARCH structure is then adopted to model the covariance matrix of the Gaussian vectors underlying the sub-Gaussian system. The model is applied to a bivariate series of daily U.S. stock returns. Value-at-Risk for long and short positions is computed and compared with the one obtained using the multivariate normal and the multivariate Student's t distribution. Finally, exploiting the recent developments in the vast dimensional time-varying covariances modeling, possible feasible extensions to higher dimensions are suggested and an illustrative example using the Dow Jones index components is presented.
Handbook Of Financial Markets Dynamics And Evolution
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Author : Thorsten Hens
language : en
Publisher: Elsevier
Release Date : 2009-06-12
Handbook Of Financial Markets Dynamics And Evolution written by Thorsten Hens and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-12 with Business & Economics categories.
The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Modelling Extreme Value Dependence In International Stock Markets
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Author : Michael Rockinger
language : en
Publisher:
Release Date : 2002
Modelling Extreme Value Dependence In International Stock Markets written by Michael Rockinger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then current modelling approaches will lead to an over-estimation of the risk of simultaneous extreme events. We use two simple nonparametric measures to identify and quantify the tail dependence among stock returns in five international stock markets. We show that there is strong evidence in favour of asymptotically independent models for the tail structure of stock market returns, and that most of the extremal dependence is due to heteroskedasticity in stock returns processes. Using a range of volatility filters, we find that tail index and tail dependence can be partially captured by models for heteroskedasticity. But, from our findings, there is no clear distinction that would lead us to prefer one volatility filter over another.
Artificial Neural Networks Icann 2007
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Author : Joaquim Marques de Sá
language : en
Publisher: Springer
Release Date : 2007-09-14
Artificial Neural Networks Icann 2007 written by Joaquim Marques de Sá and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-14 with Computers categories.
This book is the second of a two-volume set that constitutes the refereed proceedings of the 17th International Conference on Artificial Neural Networks, ICANN 2007. It features contributions related to computational neuroscience, neurocognitive studies, applications in biomedicine and bioinformatics, pattern recognition, self-organization, text mining and internet applications, signal and times series processing, vision and image processing, robotics, control, and more.
Stable Paretian Models In Finance
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Author : Svetlozar T. Rachev
language : en
Publisher:
Release Date : 2000-06-15
Stable Paretian Models In Finance written by Svetlozar T. Rachev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06-15 with Business & Economics categories.
The authors reconsider the problem of parametrically specifying distribution suitable for asset-return models. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.
Financial Econometrics
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2007-03-22
Financial Econometrics written by Svetlozar T. Rachev 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 2007-03-22 with Business & Economics categories.
A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.
Fundamental Statistical Inference
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Author : Marc S. Paolella
language : en
Publisher: John Wiley & Sons
Release Date : 2018-06-19
Fundamental Statistical Inference written by Marc S. Paolella 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 2018-06-19 with Mathematics categories.
A hands-on approach to statistical inference that addresses the latest developments in this ever-growing field This clear and accessible book for beginning graduate students offers a practical and detailed approach to the field of statistical inference, providing complete derivations of results, discussions, and MATLAB programs for computation. It emphasizes details of the relevance of the material, intuition, and discussions with a view towards very modern statistical inference. In addition to classic subjects associated with mathematical statistics, topics include an intuitive presentation of the (single and double) bootstrap for confidence interval calculations, shrinkage estimation, tail (maximal moment) estimation, and a variety of methods of point estimation besides maximum likelihood, including use of characteristic functions, and indirect inference. Practical examples of all methods are given. Estimation issues associated with the discrete mixtures of normal distribution, and their solutions, are developed in detail. Much emphasis throughout is on non-Gaussian distributions, including details on working with the stable Paretian distribution and fast calculation of the noncentral Student's t. An entire chapter is dedicated to optimization, including development of Hessian-based methods, as well as heuristic/genetic algorithms that do not require continuity, with MATLAB codes provided. The book includes both theory and nontechnical discussions, along with a substantial reference to the literature, with an emphasis on alternative, more modern approaches. The recent literature on the misuse of hypothesis testing and p-values for model selection is discussed, and emphasis is given to alternative model selection methods, though hypothesis testing of distributional assumptions is covered in detail, notably for the normal distribution. Presented in three parts—Essential Concepts in Statistics; Further Fundamental Concepts in Statistics; and Additional Topics—Fundamental Statistical Inference: A Computational Approach offers comprehensive chapters on: Introducing Point and Interval Estimation; Goodness of Fit and Hypothesis Testing; Likelihood; Numerical Optimization; Methods of Point Estimation; Q-Q Plots and Distribution Testing; Unbiased Point Estimation and Bias Reduction; Analytic Interval Estimation; Inference in a Heavy-Tailed Context; The Method of Indirect Inference; and, as an appendix, A Review of Fundamental Concepts in Probability Theory, the latter to keep the book self-contained, and giving material on some advanced subjects such as saddlepoint approximations, expected shortfall in finance, calculation with the stable Paretian distribution, and convergence theorems and proofs.
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management
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Author : Michele Leonardo Bianchi
language : en
Publisher: World Scientific
Release Date : 2019-03-08
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-08 with Business & Economics categories.
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.