Theoretical and Empirical Analysis of Common Factors in a Term Structure Model 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 Theoretical and Empirical Analysis of Common Factors in a Term Structure Model PDF full book. Access full book title Theoretical and Empirical Analysis of Common Factors in a Term Structure Model by Ting Ting Huang. Download full books in PDF and EPUB format.
Author: Ting Ting Huang
Publisher: Cambridge Scholars Publishing
ISBN: 1443815829
Category : Business & Economics
Languages : en
Pages : 89
Get Book Here
Book Description
This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialists to understand, and the mathematical tools required for applications can be intimidating. Although many of the copula models used in finance are theoretical, the nature of financial data suggests the empirical copula is more appropriate for forecasting and accurately describing returns, volatility and interdependence.
Author: Ting Ting Huang
Publisher: Cambridge Scholars Publishing
ISBN: 1443815829
Category : Business & Economics
Languages : en
Pages : 89
Get Book Here
Book Description
This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialists to understand, and the mathematical tools required for applications can be intimidating. Although many of the copula models used in finance are theoretical, the nature of financial data suggests the empirical copula is more appropriate for forecasting and accurately describing returns, volatility and interdependence.
Author: Lionel Martellini
Publisher: John Wiley & Sons
ISBN: 0470868228
Category : Business & Economics
Languages : en
Pages : 662
Get Book Here
Book Description
This textbook will be designed for fixed-income securities courses taught on MSc Finance and MBA courses. There is currently no suitable text that offers a 'Hull-type' book for the fixed income student market. This book aims to fill this need. The book will contain numerous worked examples, excel spreadsheets, with a building block approach throughout. A key feature of the book will be coverage of both traditional and alternative investment strategies in the fixed-income market, for example, the book will cover the modern strategies used by fixed-income hedge funds. The text will be supported by a set of PowerPoint slides for use by the lecturer First textbook designed for students written on fixed-income securities - a growing market Contains numerous worked examples throughout Includes coverage of important topics often omitted in other books i.e. deriving the zero yield curve, deriving credit spreads, hedging and also covers interest rate and credit derivatives
Author: David Meiselman
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96
Get Book Here
Book Description
Author: Chia-Lin Chang
Publisher: MDPI
ISBN: 3038979260
Category : Business & Economics
Languages : en
Pages : 222
Get Book Here
Book Description
Although the theme of the monograph is primarily related to “Applied Econometrics”, there are several theoretical contributions that are associated with empirical examples, or directions in which the novel theoretical ideas might be applied. The monograph is associated with significant and novel contributions in theoretical and applied econometrics; economics; theoretical and applied financial econometrics; quantitative finance; risk; financial modeling; portfolio management; optimal hedging strategies; theoretical and applied statistics; applied time series analysis; forecasting; applied mathematics; energy economics; energy finance; tourism research; tourism finance; agricultural economics; informatics; data mining; bibliometrics; and international rankings of journals and academics.
Author: Mirko Abbritti
Publisher: International Monetary Fund
ISBN: 1475513313
Category : Business & Economics
Languages : en
Pages : 41
Get Book Here
Book Description
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
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: John Eatwell
Publisher: W. W. Norton & Company
ISBN: 9780393958560
Category : Business & Economics
Languages : en
Pages : 306
Get Book Here
Book Description
"First published in the New Palgrave: a dictionary of economics ... in four volumes, 1987"--T.p. verso. Includes bibliographical references.
Author: Roberto Mariano
Publisher: Cambridge University Press
ISBN: 9780521591126
Category : Business & Economics
Languages : en
Pages : 488
Get Book Here
Book Description
This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes the summary and synthesis of the many concepts and results extant in the theoretical literature, the different classes of problems and estimators, the asymptotic properties of these estimators, as well as descriptions of the different simulators in use. Second, the volume provides empirical and operational examples of SBI methods. Often what is missing, even in existing applied papers, are operational issues. Which simulator works best for which problem and why? This volume will explicitly address the important numerical and computational issues in SBI which are not covered comprehensively in the existing literature. Examples of such issues are: comparisons with existing tractable methods, number of replications needed for robust results, choice of instruments, simulation noise and bias as well as efficiency loss in practice.
Author: Wm Jack Hranicky
Publisher: AuthorHouse
ISBN: 1481751743
Category : Social Science
Languages : en
Pages : 586
Get Book Here
Book Description
Archaeological Concepts, Techniques, and Terminology for American Prehistory Lithic Technology by Wm Jack Hranicky is a 600-page comprehensive publication that encompasses the study of American prehistoric stone tools and implements. It is a look-up volume for studying the material culture of prehistoric people and using its concepts and methods for researching this aspect of archaeology. There are over 3000 entries which are defined and illustrated. It also has an extensive set of references and an overview for the study of stone tools.
Author: Graham Elliott
Publisher: Elsevier
ISBN: 0444627413
Category : Business & Economics
Languages : en
Pages : 1386
Get Book Here
Book Description
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
