Maximum entropy models for time-varying moments applied to daily financial returns:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aachen
Shaker
2011
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| Schriftenreihe: | Berichte aus der Statistik
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVII, 189 S. graph. Darst. |
| ISBN: | 9783844000191 |
Internformat
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Datensatz im Suchindex
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| adam_text | IMAGE 1
CONTENTS
LIST OF TABLES VI
LIST OF FIGURES X
LIST OF BOXES XII
SYMBOLS AND ABBREVIATIONS XIII
INTRODUCTION 1
1 FINANCIAL RETURNS AND ILLUSTRATIVE DATA SETS 3
1.1 FINANCIAL RETURNS: ASSET PRICES AND RETURNS 3
1.2 ILLUSTRATIVE DATA SETS 4
1 AN INTRODUCTION TO ECONOMETRIC MODELING 7
2 SOME CONCEPTS FROM STATISTICS 9
2.1 THE RANDOM VARIABLE 9
2.2 MODELS FOR RANDOM VARIABLES 9
2.3 CHARACTERIZATION OF DISTRIBUTIONS 10
2.3.1 CONVENTIONAL MOMENTS 11
2.3.2 L-MOMENTS 13
2.4 THE RANDOM PROCESS IN DISCRETE TIME 14
3 SOME CONCEPTS FROM TIME SERIES ANALYSIS 15
3.1 PROPERTIES OF RANDOM PROCESSES 15
3.2 BASIC PROCESS MODELS 17
I
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1011457113
DIGITALISIERT DURCH
IMAGE 2
II CONTENTS
3.2.1 STATIONARY LINEAR PROCESSES 18
3.2.2 STATIONARY NON-LINEAR PROCESSES 20
3.2.3 INSTATIONARY PROCESSES 21
3.3 ESTIMATION 22
3.4 MODEL ASSESSMENT 23
3.4.1 LIKELIHOOD AND LIKELIHOOD-BASED CRITERIA 24
3.4.2 DISTANCES 25
3.4.3 TRANSFORMED INNOVATIONS 26
II FINANCIAL MODELING: ESTIMATING THE VALUE AT RISK 29
4 OBJECTIVES 31
5 STYLIZED FACTS 33
5.1 STYLIZED FACTS 33
5.2 A MODELING PARADIGM BASED ON STYLIZED FACTS 34
5.3 APPLICATION TO THE ILLUSTRATIVE DATA SETS 36
6 TIME STRUCTURE 39
6.1 CONDITIONAL VARIANCE MODELS 39
6.2 LAG ORDER 40
6.3 FUNCTIONAL EXTENSIONS 41
6.3.1 PARAMETRIC FUNCTIONAL EXTENSIONS 42
6.3.2 INTEGRATED GARCH MODELS 43
6.3.3 A SEMI-PARAMETRIC APPROACH 44
6.4 HIGHER MOMENTS 45
7 CONDITIONAL DISTRIBUTION 51
7.1 PARAMETRIC DISTRIBUTIONS 52
7.1.1 T-TYPE 53
7.1.2 EXP-TYPE 54
7.1.3 LOG-TYPE 54
7.1.4 FURTHER PARAMETRIC APPROACHES 55
7.2 EXPANSIONS AND TRANSFORMATIONS 56
IMAGE 3
CONTENTS III
7.2.1 EXPANSION OF THE DENSITY FUNCTIONS 57
7.2.2 G- AND H-TRANSFORMATIONS 58
7.3 NON-PARAMETRIC APPROACHES 58
8 MODEL DISTURBANCE 61
8.1 OUTLIERS 61
8.2 STRUCTURAL CHANGES AND BREAKS 62
III A TOOLBOX DERIVED FROM INFORMATION THEORY 65
9 MEASURES OF INFORMATION 69
9.1 SHANNON ENTROPY 69
9.1.1 AXIOMATIC DERIVATION 70
9.1.2 RELATION TO DATA COMPRESSION 72
9.1.3 ENTROPY AND ENSEMBLES OF MICROSTATES 73
9.1.4 RELATED CONCEPTS IN STATISTICS 74
9.2 GENERALIZED MEASURES OF INFORMATION 77
9.2.1 AXIOMATIC GENERALIZATION 77
9.2.2 GENERALIZATIONS FOR ENSEMBLES OF MICROSTATES 80
9.2.3 FUNCTIONAL GENERALIZATIONS 81
9.2.4 BURG ENTROPY 81
10 THE MAXIMUM ENTROPY PRINCIPLE 83
10.1 MAXIMUM ENTROPY DISTRIBUTIONS 84
10.1.1 SUBJECT TO C-MOMENTS 84
10.1.2 SUBJECT TO L-MOMENTS 91
10.1.3 PARAMETRIC EXAMPLES 94
10.2 GENERALIZED MAXIMUM ENTROPY DISTRIBUTIONS 95
10.2.1 SUBJECT TO C-MOMENTS 95
10.2.2 SUBJECT TO L-MOMENTS 97
10.2.3 PARAMETRIC EXAMPLES 99
11 NUMERICAL SOLUTIONS 101
11.1 DUAL PROBLEMS 101
IMAGE 4
IV CONTENTS
11.2 NUMERICAL IMPLEMENTATION 102
11.2.1 NUMERICAL INTEGRATION 102
11.2.2 OPTIMIZATION ALGORITHM 103
11.3 FROM QUAUTILE DENSITY TO PROBABILITY DENSITY 104
11.3.1 QUANTILE FUNCTION 104
11.3.2 PROBABILITY AND PROBABILITY DENSITY FUNCTION 105
11.4 EXAMPLES 105
11.4.1 SUBJECT TO C-MOMENTS 106
11.4.2 SUBJECT TO L-MOMENTS 107
IV MAXIMUM ENTROPY MODELING 109
12 MAXIMUM ENTROPY MODELING PARADIGMS 113
12.1 MAXIMUM ENTROPY MODELING PARADIGM 114
12.2 GENERALIZED MAXIMUM ENTROPY MODELING PARADIGM 115
12.3 MOMENT FUNCTIONS AND MOMENT DEPENDENCE 115
13 MAXIMUM ENTROPY MODELS 117
13.1 SOME ECONOMETRIC MODELS 117
13.2 FINANCIAL RETURNS MODELS 118
13.2.1 TIME-VARYING DISPERSION 119
13.2.2 INCLUSION OF HIGHER MOMENTS 121
13.2.3 TIME-VARYING HIGHER MOMENTS 122
V EMPIRICAL RESULTS 125
14 DISPERSION MODELS: GARCH AND RELATIVES 127
14.1 DISPERSION MODELS 128
14.2 GARCH(L.L) WITH CONDITIONAL KURTOSIS 133
14.3 GARCH(1,1) WITH CONDITIONAL SKEWNESS AND KURTOSIS 138
14.4 CONCLUSION 140
IMAGE 5
CONTENTS V
15 TIME-DEPENDENCE IN HIGHER MOMENTS 145
15.1 L-MOMENT-BASED APPROACH 145
15.1.1 GOLD 146
15.1.2 EXCHANGE RATE 147
15.1.3 DAX 148
15.2 C-MOMENT-BASED APPROACH 149
15.2.1 GOLD 150
15.2.2 EXCHANGE RATE 151
15.2.3 DAX 152
15.3 CONCLUSION 152
CONCLUSION 155
A SUPPLEMENTARY EMPIRICAL STUDIES 157
A.I LOG-RETURNS VERSUS SIMPLE RETURNS 157
A.2 ILLUSTRATIVE DATA SETS AND THE IID ASSUMPTION 158
A.3 ILLUSTRATIVE DATA SETS AND THE GARCH(1,1) ASSUMPTION 162
A.4 LAG ORDER IN ILLUSTRATIVE DATA SETS 166
A.5 TESTING FOR STRUCTURAL BREAKS 169
INDEX 170
BIBLIOGRAPHY 172
|
| any_adam_object | 1 |
| author | Herrmann, Klaus |
| author_GND | (DE-588)139722475 |
| author_facet | Herrmann, Klaus |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60151924 |
| dewey-search | 332.60151924 |
| dewey-sort | 3332.60151924 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-09T23:59:22Z |
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| isbn | 9783844000191 |
| language | English |
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| spelling | Herrmann, Klaus Verfasser (DE-588)139722475 aut Maximum entropy models for time-varying moments applied to daily financial returns Klaus Herrmann Aachen Shaker 2011 XVII, 189 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Statistik Zugl.: Erlangen-Nürnberg, Univ., Diss., 2011 Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Rendite (DE-588)4049459-7 gnd rswk-swf Maximum-Entropie-Methode (DE-588)4277537-1 gnd rswk-swf Wertpapierkurs (DE-588)4065681-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Wertpapierkurs (DE-588)4065681-0 s Rendite (DE-588)4049459-7 s Zeitreihenanalyse (DE-588)4067486-1 s Maximum-Entropie-Methode (DE-588)4277537-1 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024138303&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Herrmann, Klaus Maximum entropy models for time-varying moments applied to daily financial returns Zeitreihenanalyse (DE-588)4067486-1 gnd Rendite (DE-588)4049459-7 gnd Maximum-Entropie-Methode (DE-588)4277537-1 gnd Wertpapierkurs (DE-588)4065681-0 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4049459-7 (DE-588)4277537-1 (DE-588)4065681-0 (DE-588)4113937-9 |
| title | Maximum entropy models for time-varying moments applied to daily financial returns |
| title_auth | Maximum entropy models for time-varying moments applied to daily financial returns |
| title_exact_search | Maximum entropy models for time-varying moments applied to daily financial returns |
| title_full | Maximum entropy models for time-varying moments applied to daily financial returns Klaus Herrmann |
| title_fullStr | Maximum entropy models for time-varying moments applied to daily financial returns Klaus Herrmann |
| title_full_unstemmed | Maximum entropy models for time-varying moments applied to daily financial returns Klaus Herrmann |
| title_short | Maximum entropy models for time-varying moments applied to daily financial returns |
| title_sort | maximum entropy models for time varying moments applied to daily financial returns |
| topic | Zeitreihenanalyse (DE-588)4067486-1 gnd Rendite (DE-588)4049459-7 gnd Maximum-Entropie-Methode (DE-588)4277537-1 gnd Wertpapierkurs (DE-588)4065681-0 gnd |
| topic_facet | Zeitreihenanalyse Rendite Maximum-Entropie-Methode Wertpapierkurs Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024138303&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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