Volatility analysis and asset pricing of stock portfolios: an empirical approach in applied financial econometrics
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| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Norderstedt
Books on Demand
2009
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | 140 S. |
| ISBN: | 9783837090499 |
Staff View
MARC
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| 245 | 1 | 0 | |a Volatility analysis and asset pricing of stock portfolios |b an empirical approach in applied financial econometrics |c ed. by Klaus Grobys |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Norderstedt |b Books on Demand |c 2009 | |
| 300 | |a 140 S. | ||
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| 650 | 7 | |a Finanzmarkt |2 stw | |
| 650 | 7 | |a Schweiz |2 stw | |
| 650 | 7 | |a Schätzung |2 stw | |
| 650 | 7 | |a Stochastischer Prozess |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a Volatilität |2 stw | |
| 650 | 7 | |a Wertpapieranalyse |2 stw | |
| 650 | 7 | |a Ökonometrie |2 stw | |
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Record in the Search Index
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| adam_text |
Index
of Contents:
Theme Page
Index of contents
.2
Index of figures
.4
Index of tables
.5
Notation and Abbreviations
.6
Preface
.
H
1
Introduction
.13
2
Analysis of the underlying stochastic processes
.17
2.1
Price versus Return
.17
2.2
Autoregressive
processes and lag order determination
.25
2.3
Portmanteau test for autocorrelation
.28
2.4
Spectral density functions and
periodograms
.29
2.5
Testing normality
.32
2.6
Volatility clustering
.35
2.7
Testing conditional heteroskedasticity
.38
2.8
Test of
cointegration
.39
2.9
Summary of the first results
.49
3
Single factor-Index models
.51
3.1 Markowitz
procedure versus Index models
.51
3.2
The link between Index models andtheCAPM
.55
3.3
OLS estimation of the empirical Index models
.58
3.4
LM-test of autocorrelation
.60
3.5
Augmentation of the model
.63
3.6
Summary of the third section
.66
4
VAR-models and the VECM
.68
4.1
VECM for portfolio pricing
.68
4.2
VECM in downward and upward market movements
.72
4.3
Testing weak exogeneity
.74
4.4
Testing strong exogeneity
.76
4.5
LM-Test of causality in variance
.79
4.6
Summary of the fourth section
.83
5
Volatility impulse response analysis
.85
2
5.1
Multivariate
GARCH models and the VECH form
.85
5.2
The BEKK model and parameter restrictions
.90
5.3
Empirical evidence from estimated BEKK models for
stock portfolios
.93
5.4
Volatility Impulse Response Functions (VIRF)
.97
5.5
Empirical results of investment funds volatility response
to shocks in the underlying stock market
. 103
5.6
Testing the cointegration relationship
. 113
5.7
Volatility impulse response in downwards market movements
.117
5.8
Volatility range and persistence analysis
. 124
6
Conclusion and outlook
.129
Appendix
.132
Index of references
.137 |
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| id | DE-604.BV035545692 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-20T10:11:56Z |
| institution | BVB |
| isbn | 9783837090499 |
| language | English |
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| physical | 140 S. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
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| publisher | Books on Demand |
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| spelling | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics ed. by Klaus Grobys 1. publ. Norderstedt Books on Demand 2009 140 S. txt rdacontent n rdamedia nc rdacarrier Aktienfonds stw Börsenkurs stw Deutschland stw Finanzmarkt stw Schweiz stw Schätzung stw Stochastischer Prozess stw Theorie stw Volatilität stw Wertpapieranalyse stw Ökonometrie stw Grobys, Klaus Sonstige oth text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3241595&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017601679&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics Aktienfonds stw Börsenkurs stw Deutschland stw Finanzmarkt stw Schweiz stw Schätzung stw Stochastischer Prozess stw Theorie stw Volatilität stw Wertpapieranalyse stw Ökonometrie stw |
| title | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics |
| title_auth | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics |
| title_exact_search | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics |
| title_full | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics ed. by Klaus Grobys |
| title_fullStr | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics ed. by Klaus Grobys |
| title_full_unstemmed | Volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics ed. by Klaus Grobys |
| title_short | Volatility analysis and asset pricing of stock portfolios |
| title_sort | volatility analysis and asset pricing of stock portfolios an empirical approach in applied financial econometrics |
| title_sub | an empirical approach in applied financial econometrics |
| topic | Aktienfonds stw Börsenkurs stw Deutschland stw Finanzmarkt stw Schweiz stw Schätzung stw Stochastischer Prozess stw Theorie stw Volatilität stw Wertpapieranalyse stw Ökonometrie stw |
| topic_facet | Aktienfonds Börsenkurs Deutschland Finanzmarkt Schweiz Schätzung Stochastischer Prozess Theorie Volatilität Wertpapieranalyse Ökonometrie |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3241595&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017601679&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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