Nonlinear Financial Econometrics Markov Switching Models Persistence And Nonlinear Cointegration
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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.
Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-13
Financial Econometrics Modeling Market Microstructure Factor Models And Financial Risk Measures written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-13 with Business & Economics categories.
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Financial Econometrics Modeling Derivatives Pricing Hedge Funds And Term Structure Models
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Author : G. Gregoriou
language : en
Publisher: Springer
Release Date : 2015-12-26
Financial Econometrics Modeling Derivatives Pricing Hedge Funds And Term Structure Models written by G. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-26 with Business & Economics categories.
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
Financial And Economic Systems Transformations And New Challenges
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Author : Zied Ftiti
language : en
Publisher: World Scientific
Release Date : 2021-03-22
Financial And Economic Systems Transformations And New Challenges written by Zied Ftiti and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-22 with Business & Economics categories.
In the last twenty years, several periods of turmoil have shaped the financial and economic system. Many regulatory policies, such as Basel III, have been introduced to overcome further crises and scandals. In addition, monetary policy has experienced a transition from conventional to unconventional frameworks in most industrialized and emerging economies. For instance, turning to hedge and diversification of portfolios, commodities markets have attracted increasing interest. More recently, new forms of money have been introduced, such as virtual money. These changes have influenced governance features at both macro and micro levels. Therefore, calls for ethical and sustainable standards in financial and economic spheres have been growing since 2007.Financial and Economic Systems: Transformations and New Challenges provides readers with insights about future transformations and challenges for financial and economic systems. Prominent contributors focus on different aspects, providing a global overview of crisis implications. The book is split into four main areas: Changes in the Real Sphere, covering issues related to yields, risk, unconventional monetary policy, and macroprudential policy; Financial Markets and Macroeconomics, covering uncertainty in finance and economics; CSR, Sustainability and Ethical Finance, highlighting the emergence of corporate social responsibility; and Digitalization, Blockchain and FinTech and the consequences of these transformations on markets and economic systems.
Handbook Of Financial Time Series
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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.
Studies In International Economics And Finance
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Author : Naoyuki Yoshino
language : en
Publisher: Springer Nature
Release Date : 2022-03-30
Studies In International Economics And Finance written by Naoyuki Yoshino and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-03-30 with Business & Economics categories.
This festschrift volume presents discussions on contemporary issues in international economics and finance. It is aimed to serve as a reference material for researchers. There are two broad sections of the book -- International Macroeconomics and International Finance. The chapters in the International Macroeconomics section discuss critical topics like aggregate level macro model for India with a new Keynesian perspective, balance of payments, service sector exports, foreign exchange constraints for import demands, foreign direct investment and knowledge spill over, the relationship between forex rate fluctuation and investment, Institutional quality-trade openness-economic growth nexus, currency crises and debt-deficit relationship in the BRICS countries in the backdrop of COVID-19. Apart from these, various analytical issues related to macroeconomic policies are also covered in this section. The topics discussed includes the nature of forex market interventions, the issue of disinvestment and privatization, changing nature of fiscal policy, the inflation-growth nexus, macroeconomic simulation modelling, measuring core inflation, central bank credibility, monetary policy, inflation targeting, Infrastructure, trade, unemployment and inequality nexus. In the International Finance section, topics such as COVID-19 induced financial crisis, commodity futures volatility, stock market connectivity, volatility persistence, determinants of sovereign bond yields, FII and stock market volatility, cryptocurrency price formation, financialization of Indian commodity market, and a Keynesian view of the financial crisis are discussed. Overall, thirty two chapters in the volume discuss cutting edge research in the areas of the two sections. A tour de force... a lucid guide to some of the diverse and complex issues in International Macroeconomics and Finance. This collection of scholarly works is a fitting tribute to respected Prof. Bandi Kamaiah and his enviable academic contributions. - Prof. Y V Reddy, Former Governor, Reserve Bank of India This volume comprising thoughtful essays by our leading scholars on some of important policy issues that India is facing is indeed a rich tribute to Professor Bandi Kamaiah . This book will greatly benefit the academic community as well as our policy makers. - Prof. Vijay Kelkar, Chairman, 13th Finance Commission of India; Chairman, India Development Foundation, Mumbai, India Noted economists from India and abroad gather to apply the rigorous searchlight that Professor Bandi Kamaiah used so effectively in his career. Major current topics in macroeconomics and international finance are effectively explored in the volume. - Prof. Ashima Goyal, Emeritus Professor, Indira Gandhi Institute of Development Research, Mumbai, India; and Member, Monetary Policy Committee of Reserve Bank of India This volume of 32 papers in macroeconomics, international economics, and international finance is intended as a tribute to the eminent econometrician , Prof B Kamaiah. Post-graduate students and researchers will find much valuable literature in the volume, which is a fitting tribute to Prof Kamaiah. The editors and authors deserve rich compliments. - Prof. K L Krishna, Former Director, Delhi School of Economics, New Delhi, India I am so happy to hear that Dr. Kamaiah's colleagues and ex-students are bringing out a special volume of articles in his honor. Nothing can be more appropriate. Dr. Kamaiah, being a man of tremendous publications, deserves this tribute. I wish all the luck and success to the new book. - Prof. Kishore Kulkarni, Distinguished Professor of Economics, Metropolitan State University of Denver, USA
Non Linear Time Series Models In Empirical Finance
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Author : Philip Hans Franses
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-27
Non Linear Time Series Models In Empirical Finance written by Philip Hans Franses 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 2000-07-27 with Business & Economics categories.
This 2000 volume reviews non-linear time series models, and their applications to financial markets.
Complex Systems In Finance And Econometrics
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Author : Robert A. Meyers
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-11-03
Complex Systems In Finance And Econometrics written by Robert A. Meyers 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 2010-11-03 with Business & Economics categories.
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Modeling Dependence In Econometrics
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Author : Van-Nam Huynh
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-18
Modeling Dependence In Econometrics written by Van-Nam Huynh 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 2013-11-18 with Technology & Engineering categories.
In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.
Forecasting In The Presence Of Structural Breaks And Model Uncertainty
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Author : David E. Rapach
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-02-29
Forecasting In The Presence Of Structural Breaks And Model Uncertainty written by David E. Rapach 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 2008-02-29 with Business & Economics categories.
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.