Three Essays On Volatility Forecasting And Forecast Evaluation
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Three Essays On Volatility Forecasting And Forecast Evaluation
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Author : Onno Kleen
language : en
Publisher:
Release Date : 2020
Three Essays On Volatility Forecasting And Forecast Evaluation written by Onno Kleen 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.
Three Essays On The Prediction And Identification Of Currency Crises
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Author : Pauline Kennedy
language : en
Publisher:
Release Date : 2003
Three Essays On The Prediction And Identification Of Currency Crises written by Pauline Kennedy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Financial crises categories.
Essays In Forecast Evaluation
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Author : Raffaella Giacomini
language : en
Publisher:
Release Date : 2003
Essays In Forecast Evaluation written by Raffaella Giacomini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Economic forecasting categories.
Handbook Of Volatility Models And Their Applications
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Author : Luc Bauwens
language : en
Publisher: John Wiley & Sons
Release Date : 2012-03-22
Handbook Of Volatility Models And Their Applications written by Luc Bauwens 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 2012-03-22 with Business & Economics categories.
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Essays In Nonlinear Time Series Econometrics
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Author : Niels Haldrup
language : en
Publisher: OUP Oxford
Release Date : 2014-06-26
Essays In Nonlinear Time Series Econometrics written by Niels Haldrup and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-26 with Business & Economics categories.
This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Forecasting Volatility In The Financial Markets
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Author : Stephen Satchell
language : en
Publisher: Elsevier
Release Date : 2011-02-24
Forecasting Volatility In The Financial Markets written by Stephen Satchell and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-24 with Business & Economics categories.
Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey - Leading thinkers present newest research on volatility forecasting - International authors cover a broad array of subjects related to volatility forecasting - Assumes basic knowledge of volatility, financial mathematics, and modelling
Three Essays In Neural Networks And Financial Prediction
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Author : Andreas Peter Gottschling
language : en
Publisher:
Release Date : 1997
Three Essays In Neural Networks And Financial Prediction written by Andreas Peter Gottschling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Feedforward control systems categories.
Forecasting Volatility In The Financial Markets
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Author : John L. Knight
language : en
Publisher: Butterworth-Heinemann
Release Date : 2002
Forecasting Volatility In The Financial Markets written by John L. Knight and has been published by Butterworth-Heinemann this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business & Economics categories.
This text assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modeling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.
The Econometric Modelling Of Financial Time Series
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Author : Terence C. Mills
language : en
Publisher: Cambridge University Press
Release Date : 2008-03-20
The Econometric Modelling Of Financial Time Series written by Terence C. Mills 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 2008-03-20 with Business & Economics categories.
Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.
Three Essays In Empirical Asset Pricing
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Author : Alessio Alberto Saretto
language : en
Publisher:
Release Date : 2006
Three Essays In Empirical Asset Pricing written by Alessio Alberto Saretto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Bonds categories.