Two Essays on Time-series Patterns in Security Returns PDF Download

Author: David Kenji Heike
Publisher:
ISBN:
Category : Securities
Languages : en
Pages : 234

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Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 700

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Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 784

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Author:
Publisher: American Philosophical Society
ISBN: 9781422372654
Category :
Languages : en
Pages : 200

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Author: R.A. Jarrow
Publisher: Elsevier
ISBN: 9780444890849
Category : Business & Economics
Languages : en
Pages : 1204

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Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.

Author:
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 902

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Author: Ruey S. Tsay
Publisher: Wiley-Interscience
ISBN: 9780471415442
Category : Business & Economics
Languages : en
Pages : 472

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Book Description
Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. Timely topics and recent results include: Value at Risk (VaR) High-frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed-form formulas VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process Multivariate volatility models with time-varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.

Author: Shahid Mumtaz
Publisher: Springer Nature
ISBN: 9819983983
Category :
Languages : en
Pages : 414

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Author: Anastasios G Malliaris
Publisher: World Scientific
ISBN: 9814480045
Category : Business & Economics
Languages : en
Pages : 373

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Book Description
The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.

Author: Manas Chatterji
Publisher: Springer
ISBN: 1349236950
Category : Business & Economics
Languages : en
Pages : 296

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Book Description
The objective of this book is to present an integrated set of original papers from leading authorities in the field related to optimal balance between arms reduction and regional and international security. The emphasis is on economics and management rather than politics and diplomacy.