New methods in financial modeling: explorations and applications
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Westport, Conn. [u.a.]
Quorum Books
1998
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 156 S. graph. Darst. |
| ISBN: | 1567201253 |
Internformat
MARC
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| 100 | 1 | |a Stokes, Houston A. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a New methods in financial modeling |b explorations and applications |c Houston H. Stokes and Hugh M. Neuburger |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Westport, Conn. [u.a.] |b Quorum Books |c 1998 | |
| 300 | |a XII, 156 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
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| 650 | 7 | |a Investimentos (modelos matemáticos) |2 larpcal | |
| 650 | 7 | |a Investissements - Modèles mathématiques |2 ram | |
| 650 | 7 | |a Statistische modellen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Investments |x Mathematical models | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-009350035 | ||
Datensatz im Suchindex
| _version_ | 1804128496875732992 |
|---|---|
| adam_text | Contents
TABLES vii
FIGURES ix
PREFACE xi
1. Introduction to the Analysis of Financial Data 1
1. 0 Introduction 1
1.1 Econometric and Statistical Issues 1
1.2 Chapter Overviews 4
1.3 Conclusion 6
2. Appropriateness of Statistical Methods in Investment Research:
What Standards Apply? 7
2.0 Introduction 7
2.1 Statistical Properties of Historical Stock and Bond
Returns 8
2.2 Stability of Estimated Betas 16
2.3 Conclusion 24
3. Do Stock Returns Anticipate Economic Activity?: Evidence from
Panel Data 2 7
3.0 Introduction 27
3.1 Data Sources and Aggregate Measures 2 7
3.2 Individual Stock Dynamics 34
3.3 Conclusion 54
4. Detecting and Modeling Nonlinearity in Stock Returns: A
Comparison of VAR, MARS, and PISPLINE Models 56
4.0 Introduction 56
4.1 Previous Research 56
4.2 Nonlinear Model Building and Testing 58
4.3 Results 64
4.4 ARCH, ARCH M and GARCH(p,q) Approaches 80
4.5 Overfitting 82
4.6 Conclusion 82
5. Modeling Episodic Nonlinearity in Daily Bond Market Returns 88
5.0 Introduction 88
5.1 Granger Causality Tests 89
5.2 Hinich Tests 91
5.3 ARCH M Tests 92
5.4 Tests for Episodic Nonlinearity 93
5.5 Conclusion 97
6. The International Transmission of Conditional Volatility 100
6.0 Introduction 100
6.1 Related Literature 100
6.2 Data and Model 102
vi Contents
6.3 Transmission of Volatility Across National Markets 110
6.4 Determinants of Volatility 120
6.5 Conclusion 121
7. The Relationship Between Large Capitalization and Small
Capitalization Stock Return Indices 124
7.0 Introduction 124
7.1 Geweke Procedure 125
7.2 Results of VAR Frequency Decomposition 130
7.3 Multivariate GARCH Models of the Russell Data 134
7.4 Conclusion 145
BIBLIOGRAPHY 147
INDEX 155
f
[
f
Tables
Table 2.1 Autocorrelation Pattern, Mean, Variance, Skewness and
Kurtosis Stock Return and Bond Return Data 13
Table 2.2 Summary of Normality and Linearity Test Statistics 14
Table 2.3 Gaussianity and Nonlinearity Test Statistics 15
Table 2.4 Estimated Betas for Complete Period 18
Table 2.5 Granger Causality Tests on Recursive Betas 22
Table 2.6 Tests of Residuals of VAR Models on Recursive Betas 24
Table 3.1 Economic Series Summary Measures from 1986/1 1996/12 28
Table 3.2 Aggregate Return Models Involving Interest Rates 32
Table 3.3 Aggregate Models with Percent Change in Interest
Rates 33
Table 3.4 Summary Data on Panel Models Analyzed 37
Table 3.5 Model 1 Panel Results Filtered by PCIDP 38
Table 3.6 Model 1 Continued: Stocks 11 20 38
Table 3.7 Model 2 Panel Filtered by PCIDP 39
Table 3.8 Model 2 Continued: Stocks 11 20 39
Table 3.9 Model 3 Panel Results Filtered by INT 41
Table 3.10 Model 3 Continued: Stocks 11 20 42
Table 3.11 Model 3 Panel Results Filtered by PCIDP 43
Table 3.12 Model 3 Continued: Stocks 11 20 44
Table 3.13 Model 5 Panel Results Filtered by PCINT 44
Table 3.14 Model 5 Continued: Stocks 11 20 45
Table 3.15 Model 5 Panel Results Filtered by PCIDP 45
Table 3.16 Model 5 Continued: Stocks 11 20 46
Table 3.17 Model 6 Panel Results Filtered by PCIDP 46
Table 3.18 Model 6 Continued: Stocks 11 20 48
Table 3.19 Model 7 Panel Results Filtered by PCIDP 48
Table 3.20 Model 7 Continued: Stocks 11 20 48
Table 3.21 Model 8 Panel Results Filtered by INT 49
Table 3.22 Model 8 Continued: Stocks 11 20 49
Table 3.23 Model 8 Panel Results Filtered by PCIDP 50
Table 3.24 Model 8 Continued: Stocks 11 20 50
Table 3.25 Model 9 Panel Results Filtered by PCIDP 51
Table 3.26 Model 9 Continued: Stocks 11 20 51
Table 3.27 Model 10 Panel Results Filtered by PCINT 51
Table 3.28 Model 10 Continued: Stocks 11 20 52
Table 3.29 Model 10 Panel Results Filtered by PCIDP 52
Table 3.30 Model 10 Continued: Stocks 11 20 52
Table 4.1 Data Used and Stationarity Tests for Key Variables 65
Table 4.2 Hinich Tests for Gaussianity (G) and Linearity (L) 74
Table 4.3 VAR Results for Subperiod and Complete Period 75
Table 4.4 OLS Models on Stock Returns 76
Table 4.5 Mars Models for Stock Returns 77
Table 4.6 n Spline Models for Stock Returns 78
Table 4.7 ARCH, ARCH M and GARCH Models of Stock Returns 79
Table 4.8 Further Tests of Residuals of MARS and n Models 80
Table 4.9 Out of Sample Forecasts for Stock Returns 82
Table 5.1 VAR Model of Order 6 on COMINF and BNDRET 90
Table 5.2 Granger Tests of COMINF and BNDRET 91
Table 5.3 ARCH M(l) Model Of BNDRET on COMRET 93
viii Tables
Table 6.1 Descriptive Data on Stock Market Index Series 104
Table 6.2 Stationarity Tests on Stock Market Index Series 105
Table 6.3 Basic ARCH Models from 12/31/85 9/30/93 106
Table 6.4 Conditional Volatility Granger Tests
12/31/85 9/30/93 113
Table 6.5 Conditional Volatility Granger Tests 1/1/88 9/30/93 114
Table 6.6 ARCH(l) M(0) Models 12/31/85 9/30/93 115
Table 6.7 Extended ARCH(l) Models 12/31/85 9/30/93 116
Table 6.8 Extended ARCH(6) Models 12/31/85 9/30/93 117
Table 6.9 Extended ARCH(6) Models 12/31/85 9/30/93 118
Table 6.10 Extended ARCH(6) Models 12/31/85 9/30/93 119
Table 7.1 Frequency Decomposition of VAR(5) Model 131
Table 7.2 Frequency Decomposition of VAR(10) Model 132
Table 7.3 Frequency Decomposition of VAR(20) Model 133
Table 7.4 Frequency Decomposition of VAR(25) Model 134
Table 7.5 Multivariate GARCH Model 1 141
Table 7.6 Multivariate GARCH Model 2 142
Table 7.7 Multivariate GARCH Model 3 143
Figures
Fig. 2.1 Recursive betas for nine stocks 19
Fig. 2.2 Recursive betas for eight stocks 20
Fig. 4.1 Subsample OLS residuals 70
Fig. 4.2 Subsample MARS residual 71
Fig. 4.3 Full sample OLS residuals 72
Fig. 4.4 Full sample n spline residual 73
Fig. 5.1 Episodic nonlinearity tests for 1983 1993 94
Fig. 5.2 Episodic nonlinearity tests for 1983 1986 95
Fig. 5.3 Episodic nonlinearity tests for 1988 1993 97
Fig. 6.1 Conditional volatility 12/31/85 9/30/93 108
Fig. 6.2 Conditional volatility 12/31/85 9/30/93 continued 109
Fig. 6.3 Conditional volatility 12/31/85 9/30/93 continued 110
Fig. 7.1 Russell 2000 series 125
Fig. 7.2 Russell 1000 series 126
Fig. 7.3 Russell 2000 minus Russell 1000 127
|
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| id | DE-604.BV013683351 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:50:10Z |
| institution | BVB |
| isbn | 1567201253 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009350035 |
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| physical | XII, 156 S. graph. Darst. |
| publishDate | 1998 |
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| publisher | Quorum Books |
| record_format | marc |
| spelling | Stokes, Houston A. Verfasser aut New methods in financial modeling explorations and applications Houston H. Stokes and Hugh M. Neuburger 1. publ. Westport, Conn. [u.a.] Quorum Books 1998 XII, 156 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financieel management gtt Investimentos (modelos matemáticos) larpcal Investissements - Modèles mathématiques ram Statistische modellen gtt Mathematisches Modell Investments Mathematical models Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Kapitalanlage (DE-588)4073213-7 s Finanzanalyse (DE-588)4133000-6 s DE-188 Neuburger, Hugh M. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009350035&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stokes, Houston A. Neuburger, Hugh M. New methods in financial modeling explorations and applications Financieel management gtt Investimentos (modelos matemáticos) larpcal Investissements - Modèles mathématiques ram Statistische modellen gtt Mathematisches Modell Investments Mathematical models Finanzanalyse (DE-588)4133000-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzierung (DE-588)4017182-6 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| subject_GND | (DE-588)4133000-6 (DE-588)4114528-8 (DE-588)4017182-6 (DE-588)4073213-7 |
| title | New methods in financial modeling explorations and applications |
| title_auth | New methods in financial modeling explorations and applications |
| title_exact_search | New methods in financial modeling explorations and applications |
| title_full | New methods in financial modeling explorations and applications Houston H. Stokes and Hugh M. Neuburger |
| title_fullStr | New methods in financial modeling explorations and applications Houston H. Stokes and Hugh M. Neuburger |
| title_full_unstemmed | New methods in financial modeling explorations and applications Houston H. Stokes and Hugh M. Neuburger |
| title_short | New methods in financial modeling |
| title_sort | new methods in financial modeling explorations and applications |
| title_sub | explorations and applications |
| topic | Financieel management gtt Investimentos (modelos matemáticos) larpcal Investissements - Modèles mathématiques ram Statistische modellen gtt Mathematisches Modell Investments Mathematical models Finanzanalyse (DE-588)4133000-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzierung (DE-588)4017182-6 gnd Kapitalanlage (DE-588)4073213-7 gnd |
| topic_facet | Financieel management Investimentos (modelos matemáticos) Investissements - Modèles mathématiques Statistische modellen Mathematisches Modell Investments Mathematical models Finanzanalyse Finanzierung Kapitalanlage |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009350035&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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