Modeling high dimensional time series for factors driving volatility strings:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 126 Bl. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035482534 | ||
| 003 | DE-604 | ||
| 005 | 20100416 | ||
| 007 | t | ||
| 008 | 090512s2009 d||| m||| 00||| eng d | ||
| 035 | |a (OCoLC)429686639 | ||
| 035 | |a (DE-599)BVBBV035482534 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-739 |a DE-355 |a DE-945 |a DE-384 |a DE-706 |a DE-634 |a DE-29T |a DE-521 |a DE-703 |a DE-11 |a DE-188 | ||
| 082 | 0 | |a 332.60151955 |2 22/ger | |
| 084 | |a QH 237 |0 (DE-625)141552: |2 rvk | ||
| 100 | 1 | |a Mungo, Julius |d 1964- |e Verfasser |0 (DE-588)138577498 |4 aut | |
| 245 | 1 | 0 | |a Modeling high dimensional time series for factors driving volatility strings |c von Julius Mungo |
| 264 | 1 | |c 2009 | |
| 300 | |a VIII, 126 Bl. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a Berlin, Humboldt-Univ., Diss., 2009 | ||
| 650 | 7 | |a Faktorenanalyse |2 stw | |
| 650 | 7 | |a Finanzmarkt |2 stw | |
| 650 | 7 | |a Nichtparametrisches Verfahren |2 stw | |
| 650 | 7 | |a Optionspreistheorie |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Volatilität |2 stw | |
| 650 | 7 | |a Zeitreihenanalyse |2 stw | |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Dynamische Datenstruktur |0 (DE-588)4250628-1 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 0 | 1 | |a Dynamische Datenstruktur |0 (DE-588)4250628-1 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Bamberg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017539055&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-017539055 | ||
Datensatz im Suchindex
| _version_ | 1804139093696708608 |
|---|---|
| adam_text | Contents
1
Introduction
1
1.1 Outline
of the Thesis
....................... 2
1 Modeling the Implied Volatility Surface
5
2
Introduction
6
2.1
Implied Volatility Surface
.................... 8
3
Dynamic Semiparametric Factor Model (DSFM)
12
3.1
DSFM with Kernel Estimator
.................. 13
3.2
DSFM with Series Estimator
................... 15
II Multivariate Time Series
18
4
Introduction
19
4.1
Vector
Autoregressive
Representation
.............. 19
4.2
Unit Root Tests
.......................... 21
4.3
Lag Length Estimation
...................... 22
4.4
VAR
Estimation and Diagnostics
................ 23
4.5
Causality and Impulse Responses
................ 27
5
Empirical Analysis
31
5.1
Data and Factor Loadings Series
................. 31
5.2
VAR
for Factor Loadings-only Dynamics
............ 38
5.3
VAR
for Loadings-Economic Indicators
............ 43
5.4
Volatility Linkage and Correlations
............... 54
Ill Long Memory in the Factor of IV Strings
66
6
Introduction
67
6.1
Fractional Integration and Long-Memory
............ 68
6.2
Long Memory and Self-Similar Process
............. 72
6.3
Long Memory Models
....................... 73
6.3.1
GARCH-type Long Memory Models
.......... 75
6.4
Long Memory Tests and Estimation
............... 80
6.5
Spurious Long Memory
...................... 85
6.5.1
Test for Spurious Long Memory
............. 85
6.5.2
Method of Randomized Buckets
............. 87
6.6
Empirical Application
...................... 89
6.6.1
Data and Long-Memory Analysis
............ 89
6.6.2
Modeling Long Memory in the Loadings Series
..... 96
6.7
Conclusions and outlook
..................... 104
A
106
A.I Implied volatility: Bisection and Newton-Raphson Methods
. . 106
A.2 DSFM Implementation
......................106
A.3
VAR
Modeling
..........................108
A.
4
Long Range Dependence
.....................108
В
109
B.I Simulation Studies: Generalizing DSFM to long memory la¬
tent factors
............................109
|
| any_adam_object | 1 |
| author | Mungo, Julius 1964- |
| author_GND | (DE-588)138577498 |
| author_facet | Mungo, Julius 1964- |
| author_role | aut |
| author_sort | Mungo, Julius 1964- |
| author_variant | j m jm |
| building | Verbundindex |
| bvnumber | BV035482534 |
| classification_rvk | QH 237 |
| ctrlnum | (OCoLC)429686639 (DE-599)BVBBV035482534 |
| dewey-full | 332.60151955 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60151955 |
| dewey-search | 332.60151955 |
| dewey-sort | 3332.60151955 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01791nam a2200445 c 4500</leader><controlfield tag="001">BV035482534</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100416 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">090512s2009 d||| m||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)429686639</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035482534</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-739</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-634</subfield><subfield code="a">DE-29T</subfield><subfield code="a">DE-521</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.60151955</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 237</subfield><subfield code="0">(DE-625)141552:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Mungo, Julius</subfield><subfield code="d">1964-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)138577498</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Modeling high dimensional time series for factors driving volatility strings</subfield><subfield code="c">von Julius Mungo</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">VIII, 126 Bl.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">Berlin, Humboldt-Univ., Diss., 2009</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Faktorenanalyse</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Finanzmarkt</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Nichtparametrisches Verfahren</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Theorie</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Volatilität</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="2">stw</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Dynamische Datenstruktur</subfield><subfield code="0">(DE-588)4250628-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Dynamische Datenstruktur</subfield><subfield code="0">(DE-588)4250628-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Bamberg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017539055&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017539055</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV035482534 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:38:36Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017539055 |
| oclc_num | 429686639 |
| open_access_boolean | |
| owner | DE-739 DE-355 DE-BY-UBR DE-945 DE-384 DE-706 DE-634 DE-29T DE-521 DE-703 DE-11 DE-188 |
| owner_facet | DE-739 DE-355 DE-BY-UBR DE-945 DE-384 DE-706 DE-634 DE-29T DE-521 DE-703 DE-11 DE-188 |
| physical | VIII, 126 Bl. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| record_format | marc |
| spelling | Mungo, Julius 1964- Verfasser (DE-588)138577498 aut Modeling high dimensional time series for factors driving volatility strings von Julius Mungo 2009 VIII, 126 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berlin, Humboldt-Univ., Diss., 2009 Faktorenanalyse stw Finanzmarkt stw Nichtparametrisches Verfahren stw Optionspreistheorie stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Dynamische Datenstruktur (DE-588)4250628-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zeitreihenanalyse (DE-588)4067486-1 s Dynamische Datenstruktur (DE-588)4250628-1 s b DE-604 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017539055&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mungo, Julius 1964- Modeling high dimensional time series for factors driving volatility strings Faktorenanalyse stw Finanzmarkt stw Nichtparametrisches Verfahren stw Optionspreistheorie stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zeitreihenanalyse (DE-588)4067486-1 gnd Dynamische Datenstruktur (DE-588)4250628-1 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4250628-1 (DE-588)4113937-9 |
| title | Modeling high dimensional time series for factors driving volatility strings |
| title_auth | Modeling high dimensional time series for factors driving volatility strings |
| title_exact_search | Modeling high dimensional time series for factors driving volatility strings |
| title_full | Modeling high dimensional time series for factors driving volatility strings von Julius Mungo |
| title_fullStr | Modeling high dimensional time series for factors driving volatility strings von Julius Mungo |
| title_full_unstemmed | Modeling high dimensional time series for factors driving volatility strings von Julius Mungo |
| title_short | Modeling high dimensional time series for factors driving volatility strings |
| title_sort | modeling high dimensional time series for factors driving volatility strings |
| topic | Faktorenanalyse stw Finanzmarkt stw Nichtparametrisches Verfahren stw Optionspreistheorie stw Theorie stw Volatilität stw Zeitreihenanalyse stw Zeitreihenanalyse (DE-588)4067486-1 gnd Dynamische Datenstruktur (DE-588)4250628-1 gnd |
| topic_facet | Faktorenanalyse Finanzmarkt Nichtparametrisches Verfahren Optionspreistheorie Theorie Volatilität Zeitreihenanalyse Dynamische Datenstruktur Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017539055&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT mungojulius modelinghighdimensionaltimeseriesforfactorsdrivingvolatilitystrings |