A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies PDF Download
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Author: Michael Rockinger
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 48
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Book Description
Author: Michael Rockinger
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 48
Get Book Here
Book Description
Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080471420
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
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
Author: John L. Knight
Publisher: Butterworth-Heinemann
ISBN: 9780750655156
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
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.
Author: Evžen Kočenda
Publisher: Charles University in Prague, Karolinum Press
ISBN: 8024631997
Category : Business & Economics
Languages : en
Pages : 220
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Book Description
This book presents the numerous tools for the econometric analysis of time series. The text is designed with emphasis on the practical application of theoretical tools. Accordingly, material is presented in a way that is easy to understand. In many cases intuitive explanation and understanding of the studied phenomena are offerd. Essential concepts are illustrated by clear-cut examples. The attention of readers is drawn to numerous applied works where the use of specific techniques is best illustrated. Such applications are chiefly connected with issues of recent economic transition and European integration. The outlined style of presentation makes the book also a rich source of references. The text is divided into five major sections. The first section, “The Nature of Time Series”, gives an introduction to time series analysis. The second section, “Difference Equations”, describes briefly the theory of difference equations with an emphasis on results that are important for time series econometrics. The third section, “Univariate Time Series”, presents the methods commonly used in univariate time series analysis, the analysis of time series of one single variable. The fourth section, “Multiple Time Series”, deals with time series models of multiple interrelated variables. The fifth section “Panel Data and Unit Root Tests”, deals with methods known as panel unit root tests that are relevant to issues of convergence. Appendices contain an introduction to simulation techniques and statistical tables. Kniha přináší soubor základních i pokročilých technik a postupů používaných v ekonometrické analýze časových řad. Kniha klade důraz na umožnění efektivního použití popsaných technik v aplikovaném ekonomickém výzkumu. Toho je dosaženo tím, že teoretické základy popsané ekonometrie jsou prezentovány spolu s intuitivním vysvětlením problematiky a jednotlivé techniky jsou ilustrovány na výsledcích současného výzkumu a to především v kontextu procesu nedávné ekonomické transformace a současné evropské integrace. Toto pojetí z knihy činí nejen učebnici v klasickém smyslu, ale také užitečný referenční zdroj neboť odkazy v knize spojují klasickou i moderní ekonometrickou literaturu se soudobými aplikacemi, na nichž je použití jednotlivých technik jasně pochopitelné. Mnohá použití vycházejí z bohaté předchozí práce autorů v oboru. Text knihy je rozdělen do pěti hlavních částí. První část, “The Nature of Time Series”, přináší úvod do analýzy časových řad a popis jejich nejdůležitějších charakteristik, vlastností a procesů. Druhá část, “Difference Equations”, stručně popisuje teorii diferenciálních rovnic s důrazem na aspekty, které jsou klíčové v ekonometrii časových řad. Třetí část, “Univariate Time Series”, poměrně rozsáhle popisuje techniky, které se používají při analýze jednotlivých časových řad bez jejich vzájemené interakce a zahrnuje jak lineární tak nelineární modelované struktury. Čtvrtá část, “Multiple Time Series”, popisuje modely které umožňují analýzu několika časových řad a jejich vzájemných interakcí. Pátá část “Panel Data and Unit Root Tests”, zahrnuje některé techniky postavené na panelových datech, jež k průřezovým datům přidávají časovou dimenzi a vztahují se k analýze konvergence. Závěr knihy je doplněn o úvod do simulační techniky a statistické tabulky
Author: Sabur Mollah
Publisher: Springer
ISBN: 1137367547
Category : Business & Economics
Languages : en
Pages : 172
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Book Description
Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
Author: R. Matousek
Publisher: Springer
ISBN: 0230302211
Category : Business & Economics
Languages : en
Pages : 299
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Book Description
This book provides a deep insight into the market changes and policy challenges that transition economies have undergone in the last twenty years. It not only comments on and evaluates the development of financial markets in transition economies, but also highlights the key obstacles to full integration of financial markets into the EU market.
Author: Stijn Claessens
Publisher: Springer Science & Business Media
ISBN: 1475733143
Category : Business & Economics
Languages : en
Pages : 461
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Book Description
No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.
Author: Bruno S. Sergi
Publisher: Emerald Group Publishing
ISBN: 178769397X
Category : Business & Economics
Languages : en
Pages : 287
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Book Description
Based on the 2017 conference "'New Reality' and Russian Markets" held at Harvard University, this book brings together world-renowned thinkers to offer the latest empirical research on recent financial risks, institutional policies, and financial stability.
Author: Akihiko Takahashi
Publisher: World Scientific
ISBN: 9814407348
Category : Mathematics
Languages : en
Pages : 231
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Book Description
This book is the Proceedings of the International Workshop on Finance 2011, held in Kyoto in the summer of 2011 with the aim of exchanging new ideas in financial engineering among researchers from various countries from both academia and industry. The workshop was held as a successor to the Daiwa International Workshop (2004-2008), and the KIER-TMU International Workshop (2009-2010). This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics, the University of Tokyo, and Graduate School of Social Sciences, Tokyo Metropolitan University — and co-organized by Life Risk Research Center, Doshisha University.The workshop serves as a bridge between academic researchers and practitioners. This book contains about fifteen papers, all refereed, representing the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering.
Author: Emmanuel Jurczenko
Publisher: John Wiley & Sons
ISBN: 0470057998
Category : Business & Economics
Languages : en
Pages : 258
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Book Description
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
