On the Intra-Daily Performance of GARCH Processes PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download On the Intra-Daily Performance of GARCH Processes PDF full book. Access full book title On the Intra-Daily Performance of GARCH Processes by Dominique M. Guillaume. Download full books in PDF and EPUB format.
Author: Dominique M. Guillaume
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
In this paper, we show that the use of an alternative time scale can eliminate the inefficiencies in the estimation of a GARCH model caused by intra-daily seasonal patterns. Even so, however, the temporal aggregation properties of the GARCH model do not hold at the intra-daily frequencies, revealing the presence of several time-horizons components. Besides, distinct characteristics were identified in the very short (less than 2 hours) and the very long (several months) run. Finally, the out-of-sample predictive power of GARCH for the volatility was found to be lower than the historical volatility itself implying the presence of other sources of heterogeneity.
Author: Dominique M. Guillaume
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
In this paper, we show that the use of an alternative time scale can eliminate the inefficiencies in the estimation of a GARCH model caused by intra-daily seasonal patterns. Even so, however, the temporal aggregation properties of the GARCH model do not hold at the intra-daily frequencies, revealing the presence of several time-horizons components. Besides, distinct characteristics were identified in the very short (less than 2 hours) and the very long (several months) run. Finally, the out-of-sample predictive power of GARCH for the volatility was found to be lower than the historical volatility itself implying the presence of other sources of heterogeneity.
Author: Dominique M. Guillaume
Publisher: Springer Science & Business Media
ISBN: 1461546214
Category : Business & Economics
Languages : en
Pages : 173
Get Book Here
Book Description
In the late 1980s, as the empirical appeal of macro-economic exchange rate models began to fade, a few people including Professor Charles Goodhart at the London School of Economics and researchers at Olsen & Associates in Zurich, started to collect intra-daily exchange rate data. The resulting database provides new insight into the foreign exchange markets and thereby opens up previously unexplored avenues of research. Intra-Daily Exchange Rate Movements presents an extensive study of the Olsen & Associates database and is one of the first monographs in this exciting new area. This book aims to provide a systematic study of the characteristics of intra-daily exchange rate data as well as an empirical investigation into different approaches of modelling the exchange rate movements. First, the author describes empirical insights, which range from the distributional issues of exchange rate data to the impact of macroeconomic fundamentals and institutional characteristics. This leads to a survey of the main stylized facts. Using the O&A database, Guillaume then presents a systematic investigation of the empirical performance of three broad categories of models: macro-economic models using an extension of chaos theory, stochastic models including the GARCH and time-deformation models, and technical analysis. The book shows how these approaches can be used to model intra-daily exchange rate movements and highlights some of the pitfalls inherent in such an exercise. In an area where literature remains controversial, this book hopes to trigger further inquiries into the suitability of these different approaches to modelling.
Author: Luc Bauwens
Publisher: Springer Science & Business Media
ISBN: 147573381X
Category : Business & Economics
Languages : en
Pages : 192
Get Book Here
Book Description
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
Author: Eric Ghysels
Publisher: Oxford University Press
ISBN: 0190622032
Category : Business & Economics
Languages : en
Pages : 617
Get Book Here
Book Description
Economic forecasting is a key ingredient of decision making both in the public and in the private sector. Because economic outcomes are the result of a vast, complex, dynamic and stochastic system, forecasting is very difficult and forecast errors are unavoidable. Because forecast precision and reliability can be enhanced by the use of proper econometric models and methods, this innovative book provides an overview of both theory and applications. Undergraduate and graduate students learning basic and advanced forecasting techniques will be able to build from strong foundations, and researchers in public and private institutions will have access to the most recent tools and insights. Readers will gain from the frequent examples that enhance understanding of how to apply techniques, first by using stylized settings and then by real data applications--focusing on macroeconomic and financial topics. This is first and foremost a book aimed at applying time series methods to solve real-world forecasting problems. Applied Economic Forecasting using Time Series Methods starts with a brief review of basic regression analysis with a focus on specific regression topics relevant for forecasting, such as model specification errors, dynamic models and their predictive properties as well as forecast evaluation and combination. Several chapters cover univariate time series models, vector autoregressive models, cointegration and error correction models, and Bayesian methods for estimating vector autoregressive models. A collection of special topics chapters study Threshold and Smooth Transition Autoregressive (TAR and STAR) models, Markov switching regime models, state space models and the Kalman filter, mixed frequency data models, nowcasting, forecasting using large datasets and, finally, volatility models. There are plenty of practical applications in the book and both EViews and R code are available online at authors' website.
Author: Albert N. Shiryaev
Publisher: World Scientific
ISBN: 9812385193
Category : Mathematics
Languages : en
Pages : 852
Get Book Here
Book Description
This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
Author: Christian Gourieroux
Publisher: Princeton University Press
ISBN: 0691187029
Category : Business & Economics
Languages : en
Pages : 529
Get Book Here
Book Description
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.
Author: Yaser S. Abu-Mostafa
Publisher: MIT Press
ISBN: 9780262511070
Category : Business & Economics
Languages : en
Pages : 744
Get Book Here
Book Description
This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. Computational finance, an exciting new cross-disciplinary research area, draws extensively on the tools and techniques of computer science, statistics, information systems, and financial economics. This book covers the techniques of data mining, knowledge discovery, genetic algorithms, neural networks, bootstrapping, machine learning, and Monte Carlo simulation. These methods are applied to a wide range of problems in finance, including risk management, asset allocation, style analysis, dynamic trading and hedging, forecasting, and option pricing. The book is based on the sixth annual international conference Computational Finance 1999, held at New York University's Stern School of Business.
Author: Barry Goss
Publisher: Routledge
ISBN: 1135639361
Category : Business & Economics
Languages : en
Pages : 187
Get Book Here
Book Description
This volume presents an entirely new analysis of the economics of futures markets, that will be of interest to both specialists in the area and the generalist economist seeking a new perspective. Through a combination of theoretical investigation and empirical application, three important themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation.
Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
Get Book Here
Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 1046
Get Book Here
Book Description
