Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 672
Book Description
Dissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 672
Book Description
Essays in Latent Variable and Event Study Econometrics
Author: Ashwin Gopal AlankarPublisher:
ISBN:
Category :
Languages : en
Pages : 278
Book Description
Essays on the Volatility of the Term Structure of Interest Rates
Author: Miguel A. FerreiraHandbook of Volatility Models and Their Applications
Author: Luc BauwensPublisher: John Wiley & Sons
ISBN: 1118272056
Category : Business & Economics
Languages : en
Pages : 566
Book Description
A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Essays in Honor of Cheng Hsiao
Author: Dek TerrellPublisher: Emerald Group Publishing
ISBN: 1789739578
Category : Business & Economics
Languages : en
Pages : 468
Book Description
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.
Essays on asset liabilty modelling
Author: David Frederik SchragerPublisher: Rozenberg Publishers
ISBN: 9051709455
Category :
Languages : en
Pages : 195
Book Description
Journal of Economic Literature
Author: Essays on Term Structure Models
Author: Guoqiang SunVolatility and Time Series Econometrics
Author: Mark WatsonPublisher: Oxford University Press
ISBN: 0199549494
Category : Business & Economics
Languages : en
Pages : 432
Book Description
A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
High-Frequency Financial Econometrics
Author: Yacine Aït-SahaliaPublisher: Princeton University Press
ISBN: 0691161437
Category : Business & Economics
Languages : en
Pages : 683
Book Description
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.