Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations 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 Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations PDF full book. Access full book title Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations by Fabio Fornari. Download full books in PDF and EPUB format.
Author: Fabio Fornari
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 52
Get Book Here
Book Description
Author: Fabio Fornari
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 52
Get Book Here
Book Description
Author: Stephen J. Taylor
Publisher: Princeton University Press
ISBN: 1400839254
Category : Business & Economics
Languages : en
Pages : 544
Get Book Here
Book Description
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Author: Erik Paul Lüders
Publisher: Springer Science & Business Media
ISBN: 379082660X
Category : Business & Economics
Languages : en
Pages : 127
Get Book Here
Book Description
In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy.
Author: Yacine Ait-Sahalia
Publisher: Elsevier
ISBN: 0080929842
Category : Business & Economics
Languages : en
Pages : 809
Get Book Here
Book Description
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
Author: Antonio Mele
Publisher: Springer Science & Business Media
ISBN: 1461545331
Category : Business & Economics
Languages : en
Pages : 156
Get Book Here
Book Description
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Author:
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 1350
Get Book Here
Book Description
Author: Thomas Kirschstein
Publisher: Springer
ISBN: 3658084332
Category : Business & Economics
Languages : en
Pages : 263
Get Book Here
Book Description
Thomas Kirschstein provides an overview on methods and approaches for planning and optimizing large-scale chemical production networks. The focus is on an integrated modelling of chemical production processes, logistical processes as well as environmental effects. Therefore, a hybrid simulation framework is designed taking into account time series models for modelling chemical production processes, linear optimization models for describing logistical processes as well as stochastic processes for modelling environmental effects.
Author: Piero Cipollone
Publisher:
ISBN:
Category : Draft
Languages : en
Pages : 56
Get Book Here
Book Description
Author: Guido De Blasio
Publisher:
ISBN:
Category : Human capital
Languages : en
Pages : 52
Get Book Here
Book Description
Author: Ugo Albertazzi
Publisher:
ISBN:
Category : Universal banks
Languages : en
Pages : 44
Get Book Here
Book Description
