Modeling Persistent Interest Rates with Volatility-induced Stationarity 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 Modeling Persistent Interest Rates with Volatility-induced Stationarity PDF full book. Access full book title Modeling Persistent Interest Rates with Volatility-induced Stationarity by Anne Lundgaard Hansen. Download full books in PDF and EPUB format.
Author: Anne Lundgaard Hansen
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
It is well-known that interest rates are extremely persistent, yet they are best modeled and understood as stationary processes. These properties are contradictory in the workhorse Gaussian affine term structure model in which persistent data often result in unit roots that imply non-stationarity. We resolve this puzzle by proposing a term structure model with volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the presence of unit roots in the characteristic polynomial corresponding to the conditional mean. The model is consistent with key characteristics of U.S. Treasury data and obtains term premia that are economically plausible and consistent with survey data. Compared to the Gaussian affine term structure model, we improve out-of-sample forecasting of the yield curve.
Author: Anne Lundgaard Hansen
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
It is well-known that interest rates are extremely persistent, yet they are best modeled and understood as stationary processes. These properties are contradictory in the workhorse Gaussian affine term structure model in which persistent data often result in unit roots that imply non-stationarity. We resolve this puzzle by proposing a term structure model with volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the presence of unit roots in the characteristic polynomial corresponding to the conditional mean. The model is consistent with key characteristics of U.S. Treasury data and obtains term premia that are economically plausible and consistent with survey data. Compared to the Gaussian affine term structure model, we improve out-of-sample forecasting of the yield curve.
Author: Manuel Seabra Pereira
Publisher: Springer Science & Business Media
ISBN: 1402056907
Category : Technology & Engineering
Languages : en
Pages : 605
Get Book Here
Book Description
This book celebrates the 75th anniversary of The Technical University of Lisbon (UTL). It provides a compelling picture of current state-of-art research at UTL. It contains the edited version of the invited lectures from a two day Symposium and brings together a comprehensive summary of high quality research contributions across basic and applied sciences. A broad spectrum of topics is covered reflecting UTL’s worldwide recognition.
Author: Rob J Hyndman
Publisher: OTexts
ISBN: 0987507117
Category : Business & Economics
Languages : en
Pages : 380
Get Book Here
Book Description
Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic forecasts a few minutes ahead. Whatever the circumstances or time horizons involved, forecasting is an important aid in effective and efficient planning. This textbook provides a comprehensive introduction to forecasting methods and presents enough information about each method for readers to use them sensibly.
Author: Seungmoon Choi
Publisher:
ISBN:
Category :
Languages : en
Pages : 216
Get Book Here
Book Description
Author: Riccardo Rebonato
Publisher: John Wiley & Sons
ISBN: 0470091401
Category : Business & Economics
Languages : en
Pages : 864
Get Book Here
Book Description
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author: Shin Kanaya
Publisher:
ISBN:
Category :
Languages : en
Pages : 196
Get Book Here
Book Description
Author: Katarina Juselius
Publisher: OUP Oxford
ISBN: 0191622966
Category : Business & Economics
Languages : en
Pages : 478
Get Book Here
Book Description
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Author: Jaya P. N. Bishwal
Publisher: Springer Nature
ISBN: 3031038614
Category : Mathematics
Languages : en
Pages : 634
Get Book Here
Book Description
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.
Author: Zurab Kotchlamazashvili
Publisher: Logos Verlag Berlin GmbH
ISBN: 3832538739
Category : Business & Economics
Languages : en
Pages : 210
Get Book Here
Book Description
The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.
Author: Martín Uribe
Publisher: Princeton University Press
ISBN: 0691158770
Category : Business & Economics
Languages : en
Pages : 646
Get Book Here
Book Description
A cutting-edge graduate-level textbook on the macroeconomics of international trade Combining theoretical models and data in ways unimaginable just a few years ago, open economy macroeconomics has experienced enormous growth over the past several decades. This rigorous and self-contained textbook brings graduate students, scholars, and policymakers to the research frontier and provides the tools and context necessary for new research and policy proposals. Martín Uribe and Stephanie Schmitt-Grohé factor in the discipline's latest developments, including major theoretical advances in incorporating financial and nominal frictions into microfounded dynamic models of the open economy, the availability of macro- and microdata for emerging and developed countries, and a revolution in the tools available to simulate and estimate dynamic stochastic models. The authors begin with a canonical general equilibrium model of an open economy and then build levels of complexity through the coverage of important topics such as international business-cycle analysis, financial frictions as drivers and transmitters of business cycles and global crises, sovereign default, pecuniary externalities, involuntary unemployment, optimal macroprudential policy, and the role of nominal rigidities in shaping optimal exchange-rate policy. Based on courses taught at several universities, Open Economy Macroeconomics is an essential resource for students, researchers, and practitioners. Detailed exploration of international business-cycle analysis Coverage of financial frictions as drivers and transmitters of business cycles and global crises Extensive investigation of nominal rigidities and their role in shaping optimal exchange-rate policy Other topics include fixed exchange-rate regimes, involuntary unemployment, optimal macroprudential policy, and sovereign default and debt sustainability Chapters include exercises and replication codes
