Asymmetric Dependence in Finance Book

Asymmetric Dependence in Finance


  • Author : Jamie Alcock
  • Publisher : John Wiley & Sons
  • Release Date : 2018-02-13
  • Genre: Business & Economics
  • Pages : 312
  • ISBN 10 : 9781119289029

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Asymmetric Dependence in Finance Excerpt :

Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.

On the Out of Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation Book

On the Out of Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation


  • Author : Andrew J. Patton
  • Publisher : Unknown
  • Release Date : 2010
  • Genre: Uncategoriezed
  • Pages : null
  • ISBN 10 : OCLC:1290830784

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On the Out of Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation Excerpt :

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The first is skewness in the distribution of individual stock returns. The second is an asymmetry in the dependence between stocks: stock returns appear to be more highly correlated during market downturns than during market upturns. In this article we examine the economic and statistical significance of these asymmetries for asset allocation decisions in an out-of-sample setting. We consider the problem of a constant relative risk aversion (CRRA) investor allocating wealth between the risk-free asset, a small-cap portfolio, and a large-cap portfolio. We use models that can capture time-varying moments up to the fourth order, and we use copula theory to construct models of the time-varying dependence structure that allow for different dependence during bear markets than bull markets. The importance of these two asymmetries for asset allocation is assessed by comparing the performance of a portfolio based on a normal distribution model with a portfolio based on a more flexible distribution model. For investors with no short-sales constraints, we find that knowledge of higher moments and asymmetric dependence leads to gains that are economically significant and statistically significant in some cases. For short sales-constrained investors the gains are limited.

Copulae and Multivariate Probability Distributions in Finance Book

Copulae and Multivariate Probability Distributions in Finance


  • Author : Alexandra Dias
  • Publisher : Routledge
  • Release Date : 2013-08-21
  • Genre: Business & Economics
  • Pages : 208
  • ISBN 10 : 9781317976905

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Copulae and Multivariate Probability Distributions in Finance Excerpt :

Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Asset Pricing Under Asymmetric Information Book
Score: 4.5
From 2 Ratings

Asset Pricing Under Asymmetric Information


  • Author : Markus K. Brunnermeier
  • Publisher : Oxford University Press on Demand
  • Release Date : 2001
  • Genre: Religion
  • Pages : 244
  • ISBN 10 : 0198296983

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Asset Pricing Under Asymmetric Information Excerpt :

The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.

Essays in Nonlinear Time Series Econometrics Book

Essays in Nonlinear Time Series Econometrics


  • Author : Niels Haldrup
  • Publisher : Oxford University Press
  • Release Date : 2014-05
  • Genre: Business & Economics
  • Pages : 352
  • ISBN 10 : 9780199679959

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Essays in Nonlinear Time Series Econometrics Excerpt :

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.

Behavioral Finance  The Second Generation Book

Behavioral Finance The Second Generation


  • Author : Meir Statman
  • Publisher : CFA Institute Research Foundation
  • Release Date : 2019-12-02
  • Genre: Business & Economics
  • Pages : 246
  • ISBN 10 : 9781944960865

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Behavioral Finance The Second Generation Excerpt :

Behavioral finance presented in this book is the second-generation of behavioral finance. The first generation, starting in the early 1980s, largely accepted standard finance’s notion of people’s wants as “rational” wants—restricted to the utilitarian benefits of high returns and low risk. That first generation commonly described people as “irrational”—succumbing to cognitive and emotional errors and misled on their way to their rational wants. The second generation describes people as normal. It begins by acknowledging the full range of people’s normal wants and their benefits—utilitarian, expressive, and emotional—distinguishes normal wants from errors, and offers guidance on using shortcuts and avoiding errors on the way to satisfying normal wants. People’s normal wants include financial security, nurturing children and families, gaining high social status, and staying true to values. People’s normal wants, even more than their cognitive and emotional shortcuts and errors, underlie answers to important questions of finance, including saving and spending, portfolio construction, asset pricing, and market efficiency.

Copulae and Multivariate Probability Distributions in Finance Book

Copulae and Multivariate Probability Distributions in Finance


  • Author : Alexandra Dias
  • Publisher : Routledge
  • Release Date : 2013-08-21
  • Genre: Business & Economics
  • Pages : 208
  • ISBN 10 : 9781317976912

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Copulae and Multivariate Probability Distributions in Finance Excerpt :

Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

The Composition Matters Book

The Composition Matters


  • Author : Mr.Hui Tong
  • Publisher : International Monetary Fund
  • Release Date : 2009-08-01
  • Genre: Business & Economics
  • Pages : 37
  • ISBN 10 : 9781451873115

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The Composition Matters Excerpt :

We study whether capital flows affect the degree of credit crunch faced by a country's manufacturing firms during the 2007-09 crisis. Examining 3823 firms in 24 emerging countries, we find that the decline in stock prices was more severe for firms that are intrinsically more dependent on external finance for working capital. The volume of capital flows has no significant effect on the severity of the credit crunch. However, the composition of capital flows matters: pre-crisis exposure to non-FDI capital inflows worsens the credit crunch, while exposure to FDI alleviates the liquidity constraint. Similar results also hold surrounding the Lehman Brothers bankruptcy

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes  Book

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes


  • Author : Cheng-few Lee
  • Publisher : World Scientific
  • Release Date : 2020-07-30
  • Genre: Business & Economics
  • Pages : 5056
  • ISBN 10 : 9789811202407

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Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes Excerpt :

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

The Oxford Handbook of Philosophy of Time Book

The Oxford Handbook of Philosophy of Time


  • Author : Craig Callender
  • Publisher : OUP Oxford
  • Release Date : 2011-04-07
  • Genre: Science
  • Pages : 704
  • ISBN 10 : 9780199298204

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The Oxford Handbook of Philosophy of Time Excerpt :

This is the first comprehensive book on the philosophy of time. Leading philosophers discuss the metaphysics of time, our experience and representation of time, the role of time in ethics and action, and philosophical issues in the sciences of time, especially quantum mechanics and relativity theory.

Handbook of Financial Time Series Book

Handbook of Financial Time Series


  • Author : Torben Gustav Andersen
  • Publisher : Springer Science & Business Media
  • Release Date : 2009-04-21
  • Genre: Business & Economics
  • Pages : 1050
  • ISBN 10 : 9783540712978

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Handbook of Financial Time Series Excerpt :

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

International Finance Book

International Finance


  • Author : H. Kent Baker
  • Publisher : Oxford University Press
  • Release Date : 2013-01-17
  • Genre: Business & Economics
  • Pages : 676
  • ISBN 10 : 9780199754656

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International Finance Excerpt :

Understanding the current state of affairs and tools available in the study of international finance is increasingly important as few areas in finance can be divorced completely from international issues. International Finance reflects the new diversity of interest in international finance by bringing together a set of chapters that summarizes and synthesizes developments to date in the many and varied areas that are now viewed as having international content. The book attempts to differentiate between what is known, what is believed, and what is still being debated about international finance. The survey nature of this book involves tradeoffs that inevitably had to be made in the process given the vast footprint that constitutes international finance. No single book can cover everything. This book, however, tries to maintain a balance between the micro and macro aspects of international finance. Although each chapter is self-contained, the chapters form a logical whole that follows a logical sequence. The book is organized into five broad categories of interest: (1) exchange rates and risk management, (2) international financial markets and institutions, (3) international investing, (4) international financial management, and (5) special topics. The chapters cover market integration, financial crisis, and the links between financial markets and development in some detail as they relate to these areas. In each instance, the contributors to this book discuss developments in the field to date and explain the importance of each area to finance as a field of study. Consequently, the strategic focus of the book is both broad and narrow, depending on the reader's needs. The entire book provides a broad picture of the current state of international finance, but a reader with more focused interests will find individual chapters illuminating on specific topics.

Handbook Of Heavy tailed Distributions In Asset Management And Risk Management Book

Handbook Of Heavy tailed Distributions In Asset Management And Risk Management


  • Author : Stoyan V Stoyanov
  • Publisher : World Scientific
  • Release Date : 2019-03-08
  • Genre: Business & Economics
  • Pages : 600
  • ISBN 10 : 9789813276215

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Handbook Of Heavy tailed Distributions In Asset Management And Risk Management Excerpt :

The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.

Handbook of Volatility Models and Their Applications Book

Handbook of Volatility Models and Their Applications


  • Author : Luc Bauwens
  • Publisher : John Wiley & Sons
  • Release Date : 2012-03-22
  • Genre: Business & Economics
  • Pages : 568
  • ISBN 10 : 9781118272053

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Handbook of Volatility Models and Their Applications Excerpt :

A complete guide to the theory and practice of volatility modelsin financial engineering Volatility has become a hot topic in this era of instantcommunications, spawning a great deal of research in empiricalfinance and time series econometrics. Providing an overview of themost recent advances, Handbook of Volatility Models and TheirApplications explores key concepts and topics essential formodeling the volatility of financial time series, both univariateand multivariate, parametric and non-parametric, high-frequency andlow-frequency. Featuring contributions from international experts in the field,the book features numerous examples and applications fromreal-world projects and cutting-edge research, showing step by stephow to use various methods accurately and efficiently whenassessing volatility rates. Following a comprehensive introductionto the topic, readers are provided with three distinct sectionsthat unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and StochasticVolatility presents ARCH and stochastic volatility models, with afocus on recent research topics including mean, volatility, andskewness spillovers in equity markets Other Models and Methods presents alternative approaches, suchas multiplicative error models, nonparametric and semi-parametricmodels, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement ofvolatility by realized variances and covariances, guiding readerson how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications isan essential reference for academics and practitioners in finance,business, and econometrics who work with volatility models in theireveryday work. The book also serves as a supplement for courses onrisk management and volatility at the upper-undergraduate andgraduate levels.