Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance 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 Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance PDF full book. Access full book title Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance by Roel C. A. Oomen. Download full books in PDF and EPUB format.
Author: Roel C. A. Oomen
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 48
Get Book Here
Book Description
Author: Roel C. A. Oomen
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 48
Get Book Here
Book Description
Author: Stavros Degiannakis
Publisher: Springer
ISBN: 1137396490
Category : Business & Economics
Languages : en
Pages : 411
Get Book Here
Book Description
The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.
Author: Eugenie M.J.H. Hol
Publisher: Springer Science & Business Media
ISBN: 147575129X
Category : Business & Economics
Languages : en
Pages : 168
Get Book Here
Book Description
Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application. Eugenie Hol develops various extensions of the SV model, which allow for additional variables in both the mean and the variance equation. In addition, the forecasting performance of SV models is compared not only to that of the well-established GARCH model but also to implied volatility and so-called realised volatility models which are based on intraday volatility measures. The intended readers are financial professionals who seek to obtain more accurate volatility forecasts and wish to gain insight about state-of-the-art volatility modelling techniques and their empirical value, and academic researchers and students who are interested in financial market volatility and want to obtain an updated overview of the various methods available in this area.
Author: Michael P. Clements
Publisher: OUP USA
ISBN: 0195398645
Category : Business & Economics
Languages : en
Pages : 732
Get Book Here
Book Description
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Author: Kenneth P. Burnham
Publisher: Springer Science & Business Media
ISBN: 0387224564
Category : Mathematics
Languages : en
Pages : 512
Get Book Here
Book Description
A unique and comprehensive text on the philosophy of model-based data analysis and strategy for the analysis of empirical data. The book introduces information theoretic approaches and focuses critical attention on a priori modeling and the selection of a good approximating model that best represents the inference supported by the data. It contains several new approaches to estimating model selection uncertainty and incorporating selection uncertainty into estimates of precision. An array of examples is given to illustrate various technical issues. The text has been written for biologists and statisticians using models for making inferences from empirical data.
Author: Carol Alexander
Publisher: John Wiley & Sons
ISBN: 0470998016
Category : Business & Economics
Languages : en
Pages : 437
Get Book Here
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: Ralf Brüggemann
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110510847
Category : Business & Economics
Languages : en
Pages : 176
Get Book Here
Book Description
Forecasts guide decisions in all areas of economics and finance. Economic policy makers base their decisions on business cycle forecasts, investment decisions of firms are based on demand forecasts, and portfolio managers try to outperform the market based on financial market forecasts. Forecasts extract relevant information from the past and help to reduce the inherent uncertainty of the future. The topic of this special issue of the Journal of Economics and Statistics is the theory and practise of forecasting and forecast evaluation and an overview of the state of the art of forecasting.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 86
Get Book Here
Book Description
Author: Roy Henriksson
Publisher:
ISBN: 9781021216878
Category : Business & Economics
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Fragiskos Archontakis
Publisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 44
Get Book Here
Book Description
