Author: Jeffrey R. RussellPublisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 274
Book Description
Econometric Analysis of Irregularly-spaced Transaction Data Using a New Class of Accelerated Failure Time Models with Application to Financial Transaction Data
Author: Jeffrey R. RussellPublisher:
ISBN:
Category : Autoregression (Statistics)
Languages : en
Pages : 274
Book Description
Modelling Irregularly Spaced Financial Data
Author: Nikolaus HautschPublisher: Springer Science & Business Media
ISBN: 9783540211341
Category : Business & Economics
Languages : en
Pages : 308
Book Description
This book provides a methodological framework to model univariate and multivariate irregularly spaced financial data. It gives a thorough review of recent developments in the econometric literature, puts forward existing approaches and opens up new directions. The book presents alternative ways to model so-called financial point processes using dynamic duration as well as intensity models and discusses their ability to account for specific features of point process data, like the occurrence of time-varying covariates, censoring mechanisms and multivariate structures. Moreover, it illustrates the use of various types of financial point processes to model financial market activity from different viewpoints and to construct volatility and liquidity measures under explicit consideration of the passing trading time.
Financial Econometrics
Author: Christian GourierouxPublisher: Princeton University Press
ISBN: 0691242364
Category : Business & Economics
Languages : en
Pages : 528
Book Description
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.
Econometric Studies
Author: Joachim FrohnPublisher: LIT Verlag Münster
ISBN: 9783825855994
Category : Business & Economics
Languages : en
Pages : 452
Book Description
Econometric Modelling of Stock Market Intraday Activity
Author: Luc BauwensPublisher: Springer Science & Business Media
ISBN: 147573381X
Category : Business & Economics
Languages : en
Pages : 192
Book Description
Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.
High Frequency Financial Econometrics
Author: Luc BauwensPublisher: Springer Science & Business Media
ISBN: 3790819921
Category : Business & Economics
Languages : en
Pages : 310
Book Description
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.
A Nonlinear Time Series Workshop
Author: Douglas M. PattersonPublisher: Springer Science & Business Media
ISBN: 9780792386742
Category : Business & Economics
Languages : en
Pages : 224
Book Description
The analysis ofwhat might be called "dynamic nonlinearity" in time series has its roots in the pioneering work ofBrillinger (1965) - who first pointed out how the bispectrum and higher order polyspectra could, in principle, be used to test for nonlinear serial dependence - and in Subba Rao and Gabr (1980) and Hinich (1982) who each showed how Brillinger's insight could be translated into a statistical test. Hinich's test, because ittakes advantage ofthe large sample statisticalpropertiesofthe bispectral estimates became the first usable statistical test for nonlinear serial dependence. We are forever grateful to Mel Hinich for getting us involved at that time in this fascinating and fruitful endeavor. With help from Mel (sometimes as amentor, sometimes as acollaborator) we developed and applied this bispectral test in the ensuing period. The first application ofthe test was to daily stock returns {Hinich and Patterson (1982, 1985)} yielding the important discovery of substantial nonlinear serial dependence in returns, over and above the weak linear serial dependence that had been previously observed. The original manuscript met with resistance from finance journals, no doubt because finance academics were reluctant to recognize the importance of distinguishing between serial correlation and nonlinear serial dependence. In Ashley, Patterson and Hinich (1986) we examined the power and sizeofthe test in finite samples.
A Class of Partially-observed Models with Discrete, Clustering and Non-clustering Noises
Author: Yong ZengStatistical Modelling and Regression Structures
Author: Thomas KneibPublisher: Springer Science & Business Media
ISBN: 3790824135
Category : Mathematics
Languages : en
Pages : 486
Book Description
The contributions collected in this book have been written by well-known statisticians to acknowledge Ludwig Fahrmeir's far-reaching impact on Statistics as a science, while celebrating his 65th birthday. The contributions cover broad areas of contemporary statistical model building, including semiparametric and geoadditive regression, Bayesian inference in complex regression models, time series modelling, statistical regularization, graphical models and stochastic volatility models.
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