Empirical techniques in finance:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2005
|
| Series: | Springer finance
|
| Subjects: | |
| Online Access: | Klappentext Inhaltsverzeichnis |
| Physical Description: | XII, 241 S. Ill., graph. Darst. |
| ISBN: | 3540251235 |
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| 100 | 1 | |a Bhar, Ramaprasad |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Empirical techniques in finance |c Ramaprasad Bhar ; Shigeyuki Hamori |
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Record in the Search Index
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| adam_text | R. Bhar-S. Hamori
The rapid advances in financial technology in the past decade have led to a
commensurate increase in sophistication for modelling techniques needed by
the researchers for the understanding of financial markets. The book aims at
equipping graduate students, market analysts and others with a wide range of
empirical techniques. It not only discusses the analytical structures behind such
modelling approaches, but also explains how they are applied to actual data.
Besides traditional elements of financial econometrics and statistical techniques
commonly used in quantitative finance, the book covers: estimation of parametric
and non-parametric models; advanced toofs
discrete time models of asset prices and of interest rates. Illustrations include
speculative equity prices, equity and currency risk premium as well as real
investment opportunity analysis and interest rate contingent claim valuation.
TABLE OF CONTENTS 1 INTRODUCTION 1 2 BASIC PROBABILITY THEORY AND MARKOV
CHAINS 5 2.1 RANDOM VARIABLES 5 2.2 FUNCTION OF RANDOM VARIABLE 7 2.3
NORMAL RANDOM VARIABLE 8 2.4 LOGNORMAL RANDOM VARIABLE 9 2.5 MARKOV
CHAINS 10 2.6 PASSAGE TIME 14 2.7 EXAMPLES AND EXERCISES 16 REFERENCES
17 3 ESTIMATION TECHNIQUES 19 3.1 MODELS, PARAMETERS AND LIKELIHOOD - AN
OVERVIEW 19 3.2 MAXIMUM LIKELIHOOD ESTIMATION AND COVARIANCE MATRIX OF
20 PARAMETERS 3.3 MLE EXAMPLE * CLASSICAL LINEAR REGRESSION 22 3.4
DEPENDENT OBSERVATIONS 23 3.5 PREDICTION ERROR DECOMPOSITION 24 3.6
SERIALLY CORRELATED ERRORS - OVERVIEW 25 3.7 CONSTRAINED OPTIMIZATION
AND THE COVARIANCE MATRIX 27 3.8 EXAMPLES AND EXERCISES 28 REFERENCES 29
4 NON-PARAMETRIC METHOD OF ESTIMATION 31 4.1 BACKGROUND 31 4.2
NON-PARAMETRIC APPROACH 32 4.3 KERNEL REGRESSION 33 4.4 ILLUSTRATION 1
(EVIEWS) 35 4.5 OPTIMAL BANDWIDTH SELECTION 36 4.6 ILLUSTRATION 2
(EVIEWS) 36 4.7 EXAMPLES AND EXERCISES 38 REFERENCES 39 TABLE OF
CONTENTS 5 UNIT ROOT, COINTEGRATION AND RELATED ISSUES 41 5.1 STATIONARY
PROCESS 41 5.2 UNIT ROOT 44 5.3 DICKEY-FULLER TEST 46 5.4 COINTEGRATION
49 5.5 RESIDUAL-BASED COINTEGRATION TEST 50 5.6 UNIT ROOT IN A
REGRESSION MODEL 51 5.7 APPLICATION TO STOCK MARKETS 52 REFERENCES 54 6
VAR MODELING 55 6.1 STATIONARY PROCESS 55 6.2 GRANGER CAUSALITY 57 6.3
COINTEGRATION AND ERROR CORRECTION 59 6.4 JOHANSEN TEST 61 6.5 LA-VAR 62
6.6 APPLICATION TO STOCK PRICES 64 REFERENCES 65 7 TIME VARYING
VOLATILITY MODELS 67 7.1 BACKGROUND 67 7.2 ARCH AND GARCH MODELS 68 7.3
TGARCH AND EGARCH MODELS 71 7.4 CAUSALITY-IN-VARIANCE APPROACH 74 7.5
INFORMATION FLOW BETWEEN PRICE CHANGE AND TRADING 77 VOLUME REFERENCES 8
1 8 STATE-SPACE MODELS (I) 83 8.1 BACKGROUND 83 8.2 CLASSICAL REGRESSION
83 8.3 IMPORTANT TIME SERIES PROCESSES 86 8.4 RECURSIVE LEAST SQUARES 89
8.5 STATE-SPACE REPRESENTATION 91 8.6 EXAMPLES AND EXERCISES 94
REFERENCES 103 9 STATE-SPACE MODELS (II) 105 9.1 LIKELIHOOD FUNCTION
MAXIMIZATION 105 9.2 EM ALGORITHM 108 XI 9.3 TIME VARYING PARAMETERS AND
CHANGING CONDITIONAL 111 VARIANCE (EVIEWS) 9.4 GARCH AND STOCHASTIC
VARIANCE MODEL FOR EXCHANGE RATE 113 (EVIEWS) 9.5 EXAMPLES AND EXERCISES
116 REFERENCES 126 10 DISCRETE TIME REAL ASSET VALUATION MODEL 127 10.1
ASSET PRICE BASICS 127 10.2 MINING PROJECT BACKGROUND 129 10.3 EXAMPLE 1
130 10.4 EXAMPLE 2 131 10.5 EXAMPLE 3 133 10.6 EXAMPLE 4 135 APPENDIX
138 REFERENCES 140 11 DISCRETE TIME MODEL OF INTEREST RATE 141 11.1
PRELIMINARIES OF SHORT RATE LATTICE 141 11.2 FORWARD RECURSION FOR
LATTICE AND ELEMENTARY PRICE 145 11.3 MATCHING THE CURRENT TERM
STRUCTURE 148 11.4 IMMUNIZATION: APPLICATION OF SHORT RATE LATTICE 149
11.5 VALUING CALLABLE BOND 152 11.6 EXERCISES 153 REFERENCES 154 12
GLOBAL BUBBLES IN STOCK MARKETS AND LINKAGES 155 12.1 INTRODUCTION 155
12.2 SPECULATIVE BUBBLES 156 12.3 REVIEW OF KEY EMPIRICAL PAPERS 158
12.4 NEW CONTRIBUTION 164 12.5 GLOBAL STOCK MARKET INTEGRATION 165 12.6
DYNAMIC LINEAR MODELS FOR BUBBLE SOLUTIONS 167 12.7 DYNAMIC LINEAR
MODELS FOR NO-BUBBLE SOLUTIONS 172 12.8 SUBSET VAR FOR LINKAGES BETWEEN
MARKETS 174 12.9 RESULTS AND DISCUSSIONS 175 12.10 SUMMARY 186
REFERENCES 187 13 FORWARD FX MARKET AND THE RISK PREMIUM 193 13.1
INTRODUCTION 193 XII TABLE OF CONTENTS 13.2 ALTERNATIVE APPROACH TO
MODEL RISK PREMIA 195 13.3 THE PROPOSED MODEL 196 13.4 STATE-SPACE
FRAMEWORK 201 13.5 BRIEF DESCRIPTION OF WOLFTFCHEUNG MODEL 204 13.6
APPLICATION OF THE MODEL AND DATA DESCRIPTION 205 13.7 SUMMARY AND
CONCLUSIONS 209 APPENDIX 210 REFERENCES 211 14 EQUITY RISK PREMIA FROM
DERIVATIVE PRICES 215 14.1 INTRODUCTION 215 14.2 THE THEORY BEHIND THE
MODELING FRAMEWORK 217 14.3 THE CONTINUOUS TIME STATE-SPACE FRAMEWORK
220 14.4 SETTING UP THE FILTERING FRAMEWORK 223 14.5 THE DATA SET 228
14.6 ESTIMATION RESULTS 228 14.7 SUMMARY AND CONCLUSIONS 235 REFERENCES
236 INDEX 239 ABOUT THE AUTHORS 243
|
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| indexdate | 2024-07-09T20:06:31Z |
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| isbn | 3540251235 |
| language | English |
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| spelling | Bhar, Ramaprasad Verfasser aut Empirical techniques in finance Ramaprasad Bhar ; Shigeyuki Hamori Berlin [u.a.] Springer 2005 XII, 241 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer finance Econometrische modellen gtt Financiering gtt Finanças (modelos matemáticos) larpcal Investimentos (modelos matemáticos) larpcal Matemática aplicada larpcal Mathematisches Modell Finance Mathematical models Investments Mathematical models Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Schätztheorie (DE-588)4121608-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Schätztheorie (DE-588)4121608-8 s DE-604 Hamori, Shigeyuki 1959- Verfasser (DE-588)130020486 aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013130553&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Klappentext SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013130553&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bhar, Ramaprasad Hamori, Shigeyuki 1959- Empirical techniques in finance Econometrische modellen gtt Financiering gtt Finanças (modelos matemáticos) larpcal Investimentos (modelos matemáticos) larpcal Matemática aplicada larpcal Mathematisches Modell Finance Mathematical models Investments Mathematical models Kreditmarkt (DE-588)4073788-3 gnd Schätztheorie (DE-588)4121608-8 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4121608-8 |
| title | Empirical techniques in finance |
| title_auth | Empirical techniques in finance |
| title_exact_search | Empirical techniques in finance |
| title_full | Empirical techniques in finance Ramaprasad Bhar ; Shigeyuki Hamori |
| title_fullStr | Empirical techniques in finance Ramaprasad Bhar ; Shigeyuki Hamori |
| title_full_unstemmed | Empirical techniques in finance Ramaprasad Bhar ; Shigeyuki Hamori |
| title_short | Empirical techniques in finance |
| title_sort | empirical techniques in finance |
| topic | Econometrische modellen gtt Financiering gtt Finanças (modelos matemáticos) larpcal Investimentos (modelos matemáticos) larpcal Matemática aplicada larpcal Mathematisches Modell Finance Mathematical models Investments Mathematical models Kreditmarkt (DE-588)4073788-3 gnd Schätztheorie (DE-588)4121608-8 gnd |
| topic_facet | Econometrische modellen Financiering Finanças (modelos matemáticos) Investimentos (modelos matemáticos) Matemática aplicada Mathematisches Modell Finance Mathematical models Investments Mathematical models Kreditmarkt Schätztheorie |
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