Handbook of Financial Econometrics Book

Handbook of Financial Econometrics


  • Author : Yacine Ait-Sahalia
  • Publisher : Elsevier
  • Release Date : 2009-10-19
  • Genre: Business & Economics
  • Pages : 808
  • ISBN 10 : 0080929842
  • Total Read : 72
  • File Size : 18,7 Mb

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Handbook of Financial Econometrics Summary:

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook of Research on Emerging Theories  Models  and Applications of Financial Econometrics Book

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics


  • Author : Burcu Adıgüzel Mercangöz
  • Publisher : Springer Nature
  • Release Date : 2021-02-17
  • Genre: Business & Economics
  • Pages : 457
  • ISBN 10 : 9783030541088
  • Total Read : 80
  • File Size : 16,6 Mb

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Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics Summary:

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Handbook in Monte Carlo Simulation Book

Handbook in Monte Carlo Simulation


  • Author : Paolo Brandimarte
  • Publisher : John Wiley & Sons
  • Release Date : 2014-06-20
  • Genre: Business & Economics
  • Pages : 688
  • ISBN 10 : 9781118594513
  • Total Read : 83
  • File Size : 18,7 Mb

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Handbook in Monte Carlo Simulation Summary:

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes  Book

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes


  • Author : Cheng-few Lee
  • Publisher : World Scientific
  • Release Date : 2020-07-30
  • Genre: Business & Economics
  • Pages : 5056
  • ISBN 10 : 9789811202407
  • Total Read : 81
  • File Size : 13,5 Mb

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Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes Summary:

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Handbook of Financial Econometrics Book

Handbook of Financial Econometrics


  • Author : Yacine Ait-Sahalia
  • Publisher : Elsevier
  • Release Date : 2009-10-21
  • Genre: Business & Economics
  • Pages : 384
  • ISBN 10 : 0444535497
  • Total Read : 61
  • File Size : 14,8 Mb

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Handbook of Financial Econometrics Summary:

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years. Presents a broad survey of current research Contributors are leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook of Financial Econometrics Book

Handbook of Financial Econometrics


  • Author : Yacine Aït-Sahalia
  • Publisher : Unknown
  • Release Date : 2010
  • Genre: Econometrics
  • Pages : null
  • ISBN 10 : 0444535543
  • Total Read : 64
  • File Size : 14,6 Mb

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Handbook of Financial Econometrics Summary:

This collection of original articles-8 years in the making-shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine ̐At-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research-from local characterizations of the Markov process dynamics to financial market trading activity. Contributors include Nobel Prize laureate Robert Engle and other leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections.

Handbook of Volatility Models and Their Applications Book

Handbook of Volatility Models and Their Applications


  • Author : Luc Bauwens
  • Publisher : John Wiley & Sons
  • Release Date : 2012-03-22
  • Genre: Business & Economics
  • Pages : 568
  • ISBN 10 : 9781118272053
  • Total Read : 74
  • File Size : 12,5 Mb

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Handbook of Volatility Models and Their Applications Summary:

A complete guide to the theory and practice of volatility modelsin financial engineering Volatility has become a hot topic in this era of instantcommunications, spawning a great deal of research in empiricalfinance and time series econometrics. Providing an overview of themost recent advances, Handbook of Volatility Models and TheirApplications explores key concepts and topics essential formodeling the volatility of financial time series, both univariateand multivariate, parametric and non-parametric, high-frequency andlow-frequency. Featuring contributions from international experts in the field,the book features numerous examples and applications fromreal-world projects and cutting-edge research, showing step by stephow to use various methods accurately and efficiently whenassessing volatility rates. Following a comprehensive introductionto the topic, readers are provided with three distinct sectionsthat unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and StochasticVolatility presents ARCH and stochastic volatility models, with afocus on recent research topics including mean, volatility, andskewness spillovers in equity markets Other Models and Methods presents alternative approaches, suchas multiplicative error models, nonparametric and semi-parametricmodels, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement ofvolatility by realized variances and covariances, guiding readerson how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications isan essential reference for academics and practitioners in finance,business, and econometrics who work with volatility models in theireveryday work. The book also serves as a supplement for courses onrisk management and volatility at the upper-undergraduate andgraduate levels.

Financial  Macro and Micro Econometrics Using R Book

Financial Macro and Micro Econometrics Using R


  • Author : Anonim
  • Publisher : Elsevier
  • Release Date : 2020-01-25
  • Genre: Mathematics
  • Pages : 349
  • ISBN 10 : 9780128202517
  • Total Read : 92
  • File Size : 12,9 Mb

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Financial Macro and Micro Econometrics Using R Summary:

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art