Author: Robert F. EnglePublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
A Permanent and Transitory Component Model of Stock Return Volatility
Author: Robert F. EngleA Permanent and Transitory Component Model of Stock Return Volatality
Author: Robert F. EngleLong-run and Short-run Modeling of Asset Return Volatility
Author: Gary Guojun LeePublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 192
Book Description
Cointegration, Causality, and Forecasting
Author: Halbert WhitePublisher: Oxford University Press, USA
ISBN: 9780198296836
Category : Business & Economics
Languages : en
Pages : 512
Book Description
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
Modeling Stock Return Volatility, a Comparative Approach
Author: Robert KrimetzPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
The application of machine learning and probabilistic programming methods on stock return prediction has grown in tandem with the availability of high frequency stock data. With well recorded heteroskedasticity in historical stock returns, modeling attempts have evolved from making general assumptions about the underlying data generating distribution to predicting changes in the underlying distribution of returns. The increase in popularity of 'tradable volatility' through derivative contacts and VIX futures over the past three decades has motivated research efforts to model the variance of daily returns. Along this line of research, three schools of thought have emerged to model return volatility; Time Series Models, Stochastic Models, and Bayesian Models. Given that the preliminary assumptions underlying these models differ, the nature of their results and the varying metrics used to calculate their respective accuracy makes it difficult to directly compare them. Accordingly, the currently available pool of research has diverged along these three separate paths making it unclear the advantages of each. Notably, Bayesian models have largely been neglected in the current pool of research due to their computational intensity. In this paper I derive ten time series and Bayesian models then provide a comprehensive comparative study of the results on real stock data. I found that Bayesian models with intractable posterior distributions significantly outperform time series models at predicting directional change in future volatility, while the GARCH and FIGARCH time series models generate the most accurate point predictions for future volatility. I hope the results outlined in this paper better contextualize different volatility predictions and motivate the creation of more accurate tradeable volatility models.
Volatility and Correlation
Author: Riccardo RebonatoPublisher: John Wiley & Sons
ISBN: 0470091401
Category : Business & Economics
Languages : en
Pages : 864
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
Discussion Paper
Author: Pricing Volatility of Stock Returns With Volatile and Persistent Components
Author: Jie ZhuPublisher:
ISBN:
Category :
Languages : en
Pages : 39
Book Description
In this paper a two-component model is suggested to describe the dynamics of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. The model is then implemented to ten Asian-Pacific stock markets. The empirical results show that the persistent component accounts much more for volatility dynamic process than the volatile component. However the volatile component is found to be a significant price factor in asset returns for all markets, yet the persistent component is not significantly priced for the return generating process.
Beast on Wall Street
Author: Robert A. HaugenPublisher: Pearson
ISBN:
Category : Actions (Titres de société)
Languages : en
Pages : 166
Book Description
It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.
Author: William A. Brock