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Author: Po-Sheng Chao
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 140
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Author: Po-Sheng Chao
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 140
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Book Description
Author: Linda Canina
Publisher:
ISBN:
Category : Stock options
Languages : en
Pages : 40
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Book Description
![The Informational Content of Implied Volatility and Historical Stock Data in the Calibration of a Stochastic Volatity [i.e. Volatility] Model PDF](https://books.google.com/books/content/images/frontcover/NB3SQwAACAAJ?fife=w80-h100)
Author: Gianna Figà-Talamanca
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Book Description
Author: Carol Alexander
Publisher: John Wiley & Sons
ISBN: 0470998016
Category : Business & Economics
Languages : en
Pages : 437
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Book Description
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Author: Luc Bauwens
Publisher: John Wiley & Sons
ISBN: 1118272056
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.
Author: e J. Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard amp; Poor`s 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black-Scholes (B-S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.
Author: Pierre Giot
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Book Description
Author: George J. Jiang
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black-Scholes (B-S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.
Author: James Engel
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 42
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Book Description
Over the past decade value at risk (VaR) has become the most widely used technique for the quantification of market-risk exposure. VaR is a measure of the potential loss that may occur from adverse moves in market prices (interest rates, exchange rates, equity prices and so forth). The capacity for a VaR measure to accurately predict future risk exposures depends upon the forecasts of the volatility of market rates and the correlations between the various market rates (that is, the variance-covariance matrix) incorporated into the VaR model. In this paper we first present the results of tests of the stability of the variances, covariances and correlations for exchange rates and Australian interest rates. Secondly, we assess the performance of several time-series models that may be used to forecast the variance-covariance matrix. In particular three models for the variance-covariance matrix are considered: equally weighted historical variances and covariances, exponentially weighted averages of historical variances and generalised autoregressive conditional heteroskedasticity (GARCH). We conclude that simple models perform as well as their more sophisticated GARCH counterparts.
Author: Jose A. Lopez
Publisher:
ISBN:
Category : Analysis of covariance
Languages : en
Pages : 62
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Book Description
