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Author: Kanak Patel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The primary aim of this research is to compute implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period of 1984 to 1997, and with approximately 20,000 commercial property transactions in the UK, we find that implied volatility of rental returns is in the region of 24.83 percent. Over the same sample period, the historical and conditional standard deviations of the log returns of transaction-based rental series are estimated to be 15.60 percent and 35.64 percent respectively. The tests of information content of these risk measures show that there is strong orthogonality in the information impounded in implied volatility estimates compared to that contained in historical standard deviations.
Author: Kanak Patel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The primary aim of this research is to compute implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period of 1984 to 1997, and with approximately 20,000 commercial property transactions in the UK, we find that implied volatility of rental returns is in the region of 24.83 percent. Over the same sample period, the historical and conditional standard deviations of the log returns of transaction-based rental series are estimated to be 15.60 percent and 35.64 percent respectively. The tests of information content of these risk measures show that there is strong orthogonality in the information impounded in implied volatility estimates compared to that contained in historical standard deviations.
Author: Kanak Patel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The primary aim of this research is to estimate implied volatility based on a stochastic contingent claim valuation model proposed by Dixit and Pindyck (1994). Over the sample period 1984 to 1997, which includes over 20,000 commercial property transactions in the UK, we find that the average implied volatility of rental is about 24.83 percent, the standard deviation of the transaction-based log rental index is 15.60 percent and the average conditional variance, based on GARCH, EGARCH, and h2tARCH models, is 35.64 percent. The tests of the information content of these risk measures show that there is strong orthogonality in the information impounded in the computed implied volatility estimate and that there is strong memory effect in the commercial property market.
Author: Tien Foo Sing
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Michael Ball
Publisher: Routledge
ISBN: 113474966X
Category : Business & Economics
Languages : en
Pages : 422
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Book Description
This new text provides a rigorous analysis of real estate markets. Three main sections cover: microeconomics of property markets the macroeconomics of commercial property the financial economics of property Global empirical examples illustrate the theories and issues. This often complex area is made accessible: each chapter contains a boxed summary and questions for self-testing or discussion.
Author: Kim Hin / David Ho
Publisher: Partridge Publishing Singapore
ISBN: 1543766919
Category : Biography & Autobiography
Languages : en
Pages : 154
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Book Description
The book concludes with my life achievements, then discusses my expanded work experience, my published articles, my published books and citations of my articles.
Author: John B. Guerard, Jr.
Publisher: Springer Science & Business Media
ISBN: 0387774394
Category : Business & Economics
Languages : en
Pages : 796
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Book Description
Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
Author: Tony Key
Publisher:
ISBN:
Category :
Languages : en
Pages : 82
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Book Description
Author: Radu Sebastian Tunaru
Publisher: World Scientific
ISBN: 9814663425
Category : Business & Economics
Languages : en
Pages : 382
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Book Description
The financial systems in most developed countries today build up a large amount of model risk on a daily basis. However, this is not particularly visible as the financial risk management agenda is still dominated by the subprime-liquidity crisis, the sovereign crises, and other major political events. Losses caused by model risk are hard to identify and even when they are internally identified, as such, they are most likely to be classified as normal losses due to market evolution.Model Risk in Financial Markets: From Financial Engineering to Risk Management seeks to change the current perspective on model innovation, implementation and validation. This book presents a wide perspective on model risk related to financial markets, running the gamut from financial engineering to risk management, from financial mathematics to financial statistics. It combines theory and practice, both the classical and modern concepts being introduced for financial modelling. Quantitative finance is a relatively new area of research and much has been written on various directions of research and industry applications. In this book the reader gradually learns to develop a critical view on the fundamental theories and new models being proposed.
Author: Peter Scott
Publisher: Taylor & Francis
ISBN: 0419209506
Category : Capital market
Languages : en
Pages : 360
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Book Description
This is a thorough exploration of the evolution of the commercial property investment and development markets from the mid-nineteenth century to the present day. It explains how the current investment scene emerged and fills an important gap in the literature on the property market.
Author: Compiled by the British Library of Political and Economic Science
Publisher: Psychology Press
ISBN: 9780415262361
Category : Business & Economics
Languages : en
Pages : 720
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Book Description
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
