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Book Description
Cette thèse présente quelques contributions à la modélisation des séries temporelles, notamment dans le développement de modèles de gestion de portefeuille. Nos travaux mettent en évidence le phénomène de Corrélation Breakdowns. Ce phénomène se matérialise par une convergence soudaine de la corrélation entre les rendements des actifs. En particulier, cet effet apparaît pendant les périodes de crises financières, mais parfois aussi au cours de périodes d'euphorie des marchés financiers. Afin de mesurer et de gérer les risques de marché, les analystes financiers tiennent compte de la variabilité et de la corrélation des rendements des actifs détenus dans leurs portefeuilles. L'une des difficultés qu'ils rencontrent pour ce faire, est qu'en période de volatilité accrue des marchés, les corrélations entre les rendements des actifs peuvent différer sensiblement de celles observées sur les marchés plus calmes. Le problème de la "Corrélation Breakdown " pendant les périodes de plus grande volatilité est bien connu.Dans un premier temps, nous nous sommes penchées sur la modélisation de la volatilité variant dans le temps et des corrélations conditionnelles des séries temporelles multivariées. Nous avons réalisé la modélisation de la volatilité variable dans le temps des séries chronologiques univariées en utilisant des GARCH multivariés (volatilité stochastique), dans le but de proposer un moyen de mesurer les périodes des chutes hétérogènes de la dynamique de la matrice de covariance du modèle GARCH. Le modèle ARCH peut nous donner des corrélations plus stables en négligeant l'hétéroscédasticité. L'ensemble des résultats est basé sur la procédure d'estimation du Maximum de Vraisemblance mis en œuvre sur des données réelles du CAC40, des secteurs de la chimie et de la pharmacie. Dans un second temps, nous nous sommes interrogées sur les stratégies d'anticipation d'un changement de corrélation. Nous avons donc réalisé un problème d'optimisation qui consiste à trouver des solutions en respectant des contraintes qui maximisent le rendement d'un portefeuille et minimisent le risque. En outre, nous nous sommes intéressées à l'impact des anticipations d'une rupture de corrélation dans un portefeuille optimal en maximisant le ratio Sharpe.
Book Description
Cette thèse présente quelques contributions à la modélisation des séries temporelles, notamment dans le développement de modèles de gestion de portefeuille. Nos travaux mettent en évidence le phénomène de Corrélation Breakdowns. Ce phénomène se matérialise par une convergence soudaine de la corrélation entre les rendements des actifs. En particulier, cet effet apparaît pendant les périodes de crises financières, mais parfois aussi au cours de périodes d'euphorie des marchés financiers. Afin de mesurer et de gérer les risques de marché, les analystes financiers tiennent compte de la variabilité et de la corrélation des rendements des actifs détenus dans leurs portefeuilles. L'une des difficultés qu'ils rencontrent pour ce faire, est qu'en période de volatilité accrue des marchés, les corrélations entre les rendements des actifs peuvent différer sensiblement de celles observées sur les marchés plus calmes. Le problème de la "Corrélation Breakdown " pendant les périodes de plus grande volatilité est bien connu.Dans un premier temps, nous nous sommes penchées sur la modélisation de la volatilité variant dans le temps et des corrélations conditionnelles des séries temporelles multivariées. Nous avons réalisé la modélisation de la volatilité variable dans le temps des séries chronologiques univariées en utilisant des GARCH multivariés (volatilité stochastique), dans le but de proposer un moyen de mesurer les périodes des chutes hétérogènes de la dynamique de la matrice de covariance du modèle GARCH. Le modèle ARCH peut nous donner des corrélations plus stables en négligeant l'hétéroscédasticité. L'ensemble des résultats est basé sur la procédure d'estimation du Maximum de Vraisemblance mis en œuvre sur des données réelles du CAC40, des secteurs de la chimie et de la pharmacie. Dans un second temps, nous nous sommes interrogées sur les stratégies d'anticipation d'un changement de corrélation. Nous avons donc réalisé un problème d'optimisation qui consiste à trouver des solutions en respectant des contraintes qui maximisent le rendement d'un portefeuille et minimisent le risque. En outre, nous nous sommes intéressées à l'impact des anticipations d'une rupture de corrélation dans un portefeuille optimal en maximisant le ratio Sharpe.
Author: L. G. Godfrey Publisher: Cambridge University Press ISBN: 9780521424592 Category : Business & Economics Languages : en Pages : 276
Book Description
Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.
Author: David Birkes Publisher: John Wiley & Sons ISBN: 1118150244 Category : Mathematics Languages : en Pages : 248
Book Description
Of related interest. Nonlinear Regression Analysis and its Applications Douglas M. Bates and Donald G. Watts ".an extraordinary presentation of concepts and methods concerning the use and analysis of nonlinear regression models.highly recommend[ed].for anyone needing to use and/or understand issues concerning the analysis of nonlinear regression models." --Technometrics This book provides a balance between theory and practice supported by extensive displays of instructive geometrical constructs. Numerous in-depth case studies illustrate the use of nonlinear regression analysis--with all data sets real. Topics include: multi-response parameter estimation; models defined by systems of differential equations; and improved methods for presenting inferential results of nonlinear analysis. 1988 (0-471-81643-4) 365 pp. Nonlinear Regression G. A. F. Seber and C. J. Wild ".[a] comprehensive and scholarly work.impressively thorough with attention given to every aspect of the modeling process." --Short Book Reviews of the International Statistical Institute In this introduction to nonlinear modeling, the authors examine a wide range of estimation techniques including least squares, quasi-likelihood, and Bayesian methods, and discuss some of the problems associated with estimation. The book presents new and important material relating to the concept of curvature and its growing role in statistical inference. It also covers three useful classes of models --growth, compartmental, and multiphase --and emphasizes the limitations involved in fitting these models. Packed with examples and graphs, it offers statisticians, statistical consultants, and statistically oriented research scientists up-to-date access to their fields. 1989 (0-471-61760-1) 768 pp. Mathematical Programming in Statistics T. S. Arthanari and Yadolah Dodge "The authors have achieved their stated intention.in an outstanding and useful manner for both students and researchers.Contains a superb synthesis of references linked to the special topics and formulations by a succinct set of bibliographical notes.Should be in the hands of all system analysts and computer system architects." --Computing Reviews This unique book brings together most of the available results on applications of mathematical programming in statistics, and also develops the necessary statistical and programming theory and methods. 1981 (0-471-08073-X) 413 pp.
Author: C. Melber Publisher: WHO ISBN: Category : Medical Languages : en Pages : 154
Book Description
On cover: IPCS International Programme on Chemical Safety. Published under the joint sponsorship of the United Nations Environment Programme, the International Labour Organization and the World Health Organization, and produced within the framework of the Inter-organization Programme for the Sound Management of Chemicals (IOMC)
Author: Benoit B. Mandelbrot Publisher: Profile Books ISBN: 1847651550 Category : Business & Economics Languages : en Pages : 352
Book Description
This international bestseller, which foreshadowed a market crash, explains why it could happen again if we don't act now. Fractal geometry is the mathematics of roughness: how to reduce the outline of a jagged leaf or static in a computer connection to a few simple mathematical properties. With his fractal tools, Mandelbrot has got to the bottom of how financial markets really work. He finds they have a shifting sense of time and wild behaviour that makes them volatile, dangerous - and beautiful. In his models, the complex gyrations of the FTSE 100 and exchange rates can be reduced to straightforward formulae that yield a much more accurate description of the risks involved.
Author: Duncan Chappell Publisher: International Labour Organization ISBN: 9789221179481 Category : Business & Economics Languages : en Pages : 390
Book Description
Violence at work, ranging from bullying and mobbing, to threats by psychologically unstable co-workers, sexual harassment and homicide, is increasing worldwide and has reached epidemic levels in some countries. This updated and revised edition looks at the full range of aggressive acts, offers new information on their occurrence and identifies occupations and situations at particular risk. It is organised in three sections: understanding violence at work; responding to violence at work; future action.
Author: Thierry Roncalli Publisher: CRC Press ISBN: 1482207168 Category : Business & Economics Languages : en Pages : 430
Book Description
Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Author: Hollis Clayson Publisher: Getty Publications ISBN: 0892367296 Category : Art Languages : en Pages : 224
Book Description
In this engrossing book, Hollis Clayson provides the first description and analysis of French artistic interest in women prostitutes, examining how the subject was treated in the art of the 1870s and 1880s by such avant-garde painters as Cézanne, Degas, Manet, and Renoir, as well as by the academic and low-brow painters who were their contemporaries. Clayson not only illuminates the imagery of prostitution-with its contradictory connotations of disgust and fascination-but also tackles the issues and problems relevant to women and men in a patriarchal society. She discusses the conspicuous sexual commerce during this era and the resulting public panic about the deterioration of social life and civilized mores. She describes the system that evolved out of regulating prostitutes and the subsequent rise of clandestine prostitutes who escaped police regulation and who were condemned both for blurring social boundaries and for spreading sexual licentiousness among their moral and social superiors. Clayson argues that the subject of covert prostitution was especially attractive to vanguard painters because it exemplified the commercialization and the ambiguity of modern life.
Author: Theodore M. Porter Publisher: Princeton University Press ISBN: 0691210543 Category : Science Languages : en Pages : 336
Book Description
A foundational work on historical and social studies of quantification What accounts for the prestige of quantitative methods? The usual answer is that quantification is desirable in social investigation as a result of its successes in science. Trust in Numbers questions whether such success in the study of stars, molecules, or cells should be an attractive model for research on human societies, and examines why the natural sciences are highly quantitative in the first place. Theodore Porter argues that a better understanding of the attractions of quantification in business, government, and social research brings a fresh perspective to its role in psychology, physics, and medicine. Quantitative rigor is not inherent in science but arises from political and social pressures, and objectivity derives its impetus from cultural contexts. In a new preface, the author sheds light on the current infatuation with quantitative methods, particularly at the intersection of science and bureaucracy.
Author: Fatimetou Khabane
Author: Fatimetou Khabane
Author: Hayette Gatfaoui
Author: L. G. Godfrey
Author: David Birkes
Author: C. Melber
Author: Benoit B. Mandelbrot
Author: Duncan Chappell
Author: Thierry Roncalli
Author: Hollis Clayson
Author: Theodore M. Porter