A Multivariate GARCH in Mean Estimation of the Capital Asset Pricing Model
Author : S. G. Hall
Publisher :
Page : 44 pages
File Size : 19,65 MB
Release : 1988
Category : Capital
ISBN :
A multivariate garch in mean estimation of the capital asset pricing model
Author : Stephen Hall
Publisher :
Page : 21 pages
File Size : 30,90 MB
Release : 1988
Category :
ISBN :
Book Description
A Multivariate GARCH in Mean Estimation of the Capital Asset Pricing Model
Author : M. P. Taylor
Publisher :
Page : 35 pages
File Size : 50,39 MB
Release : 1988
Category : Capital assets pricing model
ISBN : 9780608031521
Book Description
Multivariate GARCH-in-mean and Regime Switching in Intertemporal and International Capital Asset Pricing Models
Author : Lorenzo Cappiello
Publisher :
Page : 213 pages
File Size : 44,76 MB
Release : 2001
Category :
ISBN :
Book Description
Econometric Analysis of Financial and Economic Time Series
Author : Thomas B. Fomby
Publisher : Emerald Group Publishing
Page : 407 pages
File Size : 34,41 MB
Release : 2006-03-01
Category : Business & Economics
ISBN : 0762312742
Book Description
Talks about the time varying betas of the capital asset pricing model, analysis of predictive densities of nonlinear models of stock returns, modelling multivariate dynamic correlations, flexible seasonal time series models, estimation of long-memory time series models, application of the technique of boosting in volatility forecasting, and more.
Applied Econometrics
Author : Dimitrios Asteriou
Publisher : Bloomsbury Publishing
Page : 1242 pages
File Size : 26,39 MB
Release : 2021-03-05
Category : Business & Economics
ISBN : 1350306142
Book Description
This trusted textbook returns in its 4th edition with even more exercises to help consolidate understanding - and a companion website featuring additional materials, including a solutions manual for instructors. Offering a unique blend of theory and practical application, it provides ideal preparation for doing applied econometric work as it takes students from a basic level up to an advanced understanding in an intuitive, step-by-step fashion. Clear presentation of economic tests and methods of estimation is paired with practical guidance on using several types of software packages. Using real world data throughout, the authors place emphasis upon the interpretation of results, and the conclusions to be drawn from them in econometric work. This book will be essential reading for economics undergraduate and master's students taking a course in applied econometrics. Its practical nature makes it ideal for modules requiring a research project. New to this Edition: - Additional practical exercises throughout to help consolidate understanding - A freshly-updated companion website featuring a new solutions manual for instructors
Complex Systems in Finance and Econometrics
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
Page : 919 pages
File Size : 34,25 MB
Release : 2010-11-03
Category : Business & Economics
ISBN : 1441977007
Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
IMF Staff papers
Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
Page : 236 pages
File Size : 35,47 MB
Release : 1993-01-01
Category : Business & Economics
ISBN : 145197325X
Book Description
This paper assesses alternative auction techniques for pricing and allocating various financial instruments, such as government securities, central bank refinance credit, and foreign exchange. Before recommending appropriate formats for auctioning these items, the paper discusses basic auction formats, assessing the advantages and disadvantages of each, based on the existing, mostly theoretical, literature. It is noted that auction techniques can be usefully employed for a broad range of items and that their application is of particular relevance to the impetus in many parts of the world toward establishing market-oriented economies.
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
Author : Olivier Ledoit
Publisher :
Page : 33 pages
File Size : 27,75 MB
Release : 2008
Category :
ISBN :
Book Description
The goal of this paper is to estimate time-varying covariance matrices. Since the covariance matrix of financial returns is known to change through time and is an essential ingredient in risk measurement, portfolio selection, and tests of asset pricing models, this is a very important problem in practice. Our model of choice is the Diagonal-Vech version of the Multivariate GARCH(1,1) model. The problem is that the estimation of the general Diagonal-Vech model model is numerically infeasible in dimensions higher than 5. The common approach is to estimate more restrictive models which are tractable but may not conform to the data. Our contribution is to propose an alternative estimation method that is numerically feasible, produces positive semi-definite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the new estimator to a number of existing ones.
Handbook of Financial Time Series
Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
Page : 1045 pages
File Size : 25,10 MB
Release : 2009-04-21
Category : Business & Economics
ISBN : 3540712976
Book Description
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
