Recovering The Probability Density Function Of Asset Prices Using Garch As Diffusion Approximations
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Recovering The Probability Density Function Of Asset Prices Using Garch As Diffusion Approximations
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Author : Fabio Fornari
language : en
Publisher:
Release Date : 2001
Recovering The Probability Density Function Of Asset Prices Using Garch As Diffusion Approximations written by Fabio Fornari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Investment analysis categories.
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.
Handbook Of Financial Econometrics
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Author : Yacine Ait-Sahalia
language : en
Publisher: Elsevier
Release Date : 2009-10-19
Handbook Of Financial Econometrics written by Yacine Ait-Sahalia and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-19 with Business & Economics categories.
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Economic Foundation Of Asset Price Processes
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Author : Erik Paul Lüders
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Economic Foundation Of Asset Price Processes written by Erik Paul Lüders 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 2012-12-06 with Business & Economics categories.
In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy.
Stochastic Volatility In Financial Markets
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Author : Antonio Mele
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Volatility In Financial Markets written by Antonio Mele 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 2012-12-06 with Business & Economics categories.
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Journal Of Empirical Finance
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Author :
language : en
Publisher:
Release Date : 2000
Journal Of Empirical Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Econometrics categories.
Integrated Supply Chain Planning In Chemical Industry
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Author : Thomas Kirschstein
language : en
Publisher: Springer
Release Date : 2015-01-07
Integrated Supply Chain Planning In Chemical Industry written by Thomas Kirschstein and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-01-07 with Business & Economics categories.
Thomas Kirschstein provides an overview on methods and approaches for planning and optimizing large-scale chemical production networks. The focus is on an integrated modelling of chemical production processes, logistical processes as well as environmental effects. Therefore, a hybrid simulation framework is designed taking into account time series models for modelling chemical production processes, linear optimization models for describing logistical processes as well as stochastic processes for modelling environmental effects.
Social Interactions In High School
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Author : Piero Cipollone
language : en
Publisher:
Release Date : 2006
Social Interactions In High School written by Piero Cipollone and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Draft categories.
Production Or Consumption
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Author : Guido De Blasio
language : en
Publisher:
Release Date : 2006
Production Or Consumption written by Guido De Blasio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Human capital categories.
Incentives In Universal Banks
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Author : Ugo Albertazzi
language : en
Publisher:
Release Date : 2006
Incentives In Universal Banks written by Ugo Albertazzi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Universal banks categories.