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Author: Gabriel Perez-Quiros
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 34
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Book Description
Author: Gabriel Perez-Quiros
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 34
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Book Description
Author: Gabriel Perez Quiros
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Gabriel Perez-Quiros
Publisher:
ISBN:
Category : Capital movements
Languages : en
Pages : 342
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Book Description
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: Michael W. Brandt
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 49
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Book Description
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study the contemporaneous and intertemporal relationship between expected returns and risk in a flexible statistical framework and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to the conditional moments that leads to pronounced counter-cyclical variation in the Sharpe ratio. We document significant lead-lag correlations between the conditional moments that also appear related to business cycles. Finally, we show that although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due to the lead-lag correlations
Author: George William Schwert
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 52
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Book Description
This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence reinforces the notion that stock prices are an important business cycle indicator. Using two different statistical models for stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and stock prices rise before the Fed increases margin requirements. Thus, there is little reason to believe that public policies can control stock volatility. The evidence supports the observation by Black [1976] that stock volatility increases after stock prices fall.
Author: Michael W. Brandt (Ph.D.)
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages :
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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: Tolga Cenesizoglu
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
To analyze the determinants of the observed variation in stock prices, Campbell and Shiller (1988) have suggested decomposing unexpected stock returns into unexpected changes in investors' beliefs about future cash flows (cash flow news) and discount rates (discount rate news). Based on a generalization of this approach to a framework with regime-switching parameters and variances, we analyze the decomposition of the conditional variance of returns on the S&P 500 index over the business cycle. The cash flow news is relatively more important than discount rate news in determining the conditional variance of returns in expansions. The conditional variances of returns and its components increase in recessions. However, the conditional variance of discount rate news increases more than that of cash flow news and, thus, the discount rate news becomes relatively more important than cash flow news in determining the conditional variance of returns in recessions. In contrast to the standard Campbell and Shiller approach with constant parameters and variances, cash flow news becomes more important than discount rate news in determining the unconditional variance of returns when we allow parameters and variances to vary over the business cycle. We show that these results are broadly consistent with the implications of a stylized asset pricing model in which the growth rates of dividends and consumption take on different values depending on the underlying state of the economy.
Author: Luc Bauwens
Publisher: John Wiley & Sons
ISBN: 0470872519
Category : Business & Economics
Languages : en
Pages : 566
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Book Description
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.
