Variance Decomposition Networks
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Variance Decomposition Networks
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Author : Mr.Jorge A. Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2017-05-04
Variance Decomposition Networks written by Mr.Jorge A. Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-04 with Business & Economics categories.
Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant generalized forecast error variance decomposition of Pesaran and Shin (1998). The shares of the forecast error variation, however, do not add to unity, making difficult to compare risk ratings and risks contributions at two different points in time. As a solution, this paper suggests using the Lanne-Nyberg (2016) decomposition, which shares the order invariance property. To illustrate the differences between both decomposition methods, I analyzed the global financial system during 2001 – 2016. The analysis shows that different decomposition methods yield substantially different systemic risk and vulnerability rankings. This suggests caution is warranted when using rankings and risk contributions for guiding financial regulation and economic policy.
Variance Decomposition Networks
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Author : Mr.Jorge A Chan-Lau
language : en
Publisher: International Monetary Fund
Release Date : 2017-05-04
Variance Decomposition Networks written by Mr.Jorge A Chan-Lau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-04 with Business & Economics categories.
Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant generalized forecast error variance decomposition of Pesaran and Shin (1998). The shares of the forecast error variation, however, do not add to unity, making difficult to compare risk ratings and risks contributions at two different points in time. As a solution, this paper suggests using the Lanne-Nyberg (2016) decomposition, which shares the order invariance property. To illustrate the differences between both decomposition methods, I analyzed the global financial system during 2001 – 2016. The analysis shows that different decomposition methods yield substantially different systemic risk and vulnerability rankings. This suggests caution is warranted when using rankings and risk contributions for guiding financial regulation and economic policy.
Network Models In Finance
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2025-02-05
Network Models In Finance written by Frank J. Fabozzi 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 2025-02-05 with Computers categories.
Expansive overview of theory and practical implementation of networks in investment management Guided by graph theory, Network Models in Finance: Expanding the Tools for Portfolio and Risk Management provides a comprehensive overview of networks in investment management, delivering strong knowledge of various types of networks, important characteristics, estimation, and their implementation in portfolio and risk management. With insights into the complexities of financial markets with respect to how individual entities interact within the financial system, this book enables readers to construct diversified portfolios by understanding the link between price/return movements of different asset classes and factors, perform better risk management through understanding systematic, systemic risk and counterparty risk, and monitor changes in the financial system that indicate a potential financial crisis. With a practitioner-oriented approach, this book includes coverage of: Practical examples of broad financial data to show the vast possibilities to visualize, describe, and investigate markets in a completely new way Interactions, Causal relationships and optimization within a network-based framework and direct applications of networks compared to traditional methods in finance Various types of algorithms enhanced by programming language codes that readers can implement and use for their own data Network Models in Finance: Expanding the Tools for Portfolio and Risk Management is an essential read for asset managers and investors seeking to make use of networks in research, trading, and portfolio management.
Handbook Of Neural Network Signal Processing
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Author : Yu Hen Hu
language : en
Publisher: CRC Press
Release Date : 2018-10-03
Handbook Of Neural Network Signal Processing written by Yu Hen Hu and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-03 with Technology & Engineering categories.
The use of neural networks is permeating every area of signal processing. They can provide powerful means for solving many problems, especially in nonlinear, real-time, adaptive, and blind signal processing. The Handbook of Neural Network Signal Processing brings together applications that were previously scattered among various publications to provide an up-to-date, detailed treatment of the subject from an engineering point of view. The authors cover basic principles, modeling, algorithms, architectures, implementation procedures, and well-designed simulation examples of audio, video, speech, communication, geophysical, sonar, radar, medical, and many other signals. The subject of neural networks and their application to signal processing is constantly improving. You need a handy reference that will inform you of current applications in this new area. The Handbook of Neural Network Signal Processing provides this much needed service for all engineers and scientists in the field.
Financial And Macroeconomic Connectedness
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Author : Francis X. Diebold
language : en
Publisher: Oxford University Press
Release Date : 2015-02-03
Financial And Macroeconomic Connectedness written by Francis X. Diebold and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-03 with Business & Economics categories.
Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Effective Statistical Learning Methods For Actuaries Iii
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Author : Michel Denuit
language : en
Publisher: Springer Nature
Release Date : 2019-10-31
Effective Statistical Learning Methods For Actuaries Iii written by Michel Denuit and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-31 with Business & Economics categories.
This book reviews some of the most recent developments in neural networks, with a focus on applications in actuarial sciences and finance. It simultaneously introduces the relevant tools for developing and analyzing neural networks, in a style that is mathematically rigorous yet accessible. Artificial intelligence and neural networks offer a powerful alternative to statistical methods for analyzing data. Various topics are covered from feed-forward networks to deep learning, such as Bayesian learning, boosting methods and Long Short Term Memory models. All methods are applied to claims, mortality or time-series forecasting. Requiring only a basic knowledge of statistics, this book is written for masters students in the actuarial sciences and for actuaries wishing to update their skills in machine learning. This is the third of three volumes entitled Effective Statistical Learning Methods for Actuaries. Written by actuaries for actuaries, this series offers a comprehensive overview of insurance data analytics with applications to P&C, life and health insurance. Although closely related to the other two volumes, this volume can be read independently.
Social Economic Networks
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Author : Jianguo Liu
language : en
Publisher: Frontiers Media SA
Release Date : 2023-08-23
Social Economic Networks written by Jianguo Liu and has been published by Frontiers Media SA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-23 with Science categories.
Cryptocurrency Transaction Analysis From A Network Perspective
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Author : Zhong-Yuan Zhang
language : en
Publisher: Frontiers Media SA
Release Date : 2025-01-03
Cryptocurrency Transaction Analysis From A Network Perspective written by Zhong-Yuan Zhang and has been published by Frontiers Media SA this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-01-03 with Science categories.
The Location Of Domestic And Foreign Production Affiliates By French Multinational Firms
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Author : Ms.Isabelle Mejean
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
The Location Of Domestic And Foreign Production Affiliates By French Multinational Firms written by Ms.Isabelle Mejean and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-01 with Business & Economics categories.
Economists interested in location choices usually focus their attention on investments abroad. This neglects the fact that multinational enterprises continue to invest domestically while undertaking foreign expansion. This paper compares investments at home and abroad. Our firm-level dataset shows an important home bias in productive investments. Part of this "excessive" domestic investment is explained by standard determinants of location choices. The interdependence between affiliates of the same industrial group however accounts for the lion's share of the home bias. Moreover, French firms' propensity to invest abroad is positively related to their productivity and the size of their intangible assets.
Neural Networks For Applied Sciences And Engineering
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Author : Sandhya Samarasinghe
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Neural Networks For Applied Sciences And Engineering written by Sandhya Samarasinghe and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Computers categories.
In response to the exponentially increasing need to analyze vast amounts of data, Neural Networks for Applied Sciences and Engineering: From Fundamentals to Complex Pattern Recognition provides scientists with a simple but systematic introduction to neural networks. Beginning with an introductory discussion on the role of neural networks in