Econometrics of Risk Book

Econometrics of Risk


  • Author : Van-Nam Huynh
  • Publisher : Springer
  • Release Date : 2014-12-15
  • Genre: Technology & Engineering
  • Pages : 498
  • ISBN 10 : 9783319134499

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Econometrics of Risk Excerpt :

This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

The Econometrics of Individual Risk Book

The Econometrics of Individual Risk


  • Author : Christian Gourieroux
  • Publisher : Princeton University Press
  • Release Date : 2011-07-24
  • Genre: Business & Economics
  • Pages : 256
  • ISBN 10 : 1400829410

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The Econometrics of Individual Risk Excerpt :

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.

Risk Measurement  Econometrics and Neural Networks Book

Risk Measurement Econometrics and Neural Networks


  • Author : Georg Bol
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-12-06
  • Genre: Business & Economics
  • Pages : 306
  • ISBN 10 : 9783642582721

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Risk Measurement Econometrics and Neural Networks Excerpt :

This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.

Market Risk Analysis  Practical Financial Econometrics Book
Score: 5
From 1 Ratings

Market Risk Analysis Practical Financial Econometrics


  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release Date : 2008-04-30
  • Genre: Business & Economics
  • Pages : 426
  • ISBN 10 : 9780470771037

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Market Risk Analysis Practical Financial Econometrics Excerpt :

Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

High Frequency Financial Econometrics Book
Score: 5
From 1 Ratings

High Frequency Financial Econometrics


  • Author : Luc Bauwens
  • Publisher : Springer Science & Business Media
  • Release Date : 2007-12-31
  • Genre: Business & Economics
  • Pages : 312
  • ISBN 10 : 9783790819922

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High Frequency Financial Econometrics Excerpt :

Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

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.

Financial Econometrics Modeling  Market Microstructure  Factor Models and Financial Risk Measures Book

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures


  • Author : G. Gregoriou
  • Publisher : Springer
  • Release Date : 2010-12-13
  • Genre: Business & Economics
  • Pages : 257
  • ISBN 10 : 9780230298101

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Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures Excerpt :

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.

Handbook of Financial Econometrics Book

Handbook of Financial Econometrics


  • Author : Yacine Ait-Sahalia
  • Publisher : Elsevier
  • Release Date : 2009-10-19
  • Genre: Business & Economics
  • Pages : 808
  • ISBN 10 : 0080929842

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Handbook of Financial Econometrics Excerpt :

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

The Econometrics of Networks Book

The Econometrics of Networks


  • Author : Áureo de Paula
  • Publisher : Emerald Group Publishing
  • Release Date : 2020-10-19
  • Genre: Business & Economics
  • Pages : 496
  • ISBN 10 : 9781838675776

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The Econometrics of Networks Excerpt :

Showcasing fresh methodological and empirical research on the econometrics of networks, and comprising both theoretical, empirical and policy papers, the authors in this volume bring together a wide range of perspectives to facilitate a dialogue between academics and practitioners for better understanding this groundbreaking field.

Applied Econometrics with SAS Book

Applied Econometrics with SAS


  • Author : Barry K. Goodwin
  • Publisher : SAS Institute
  • Release Date : 2018-04-04
  • Genre: Computers
  • Pages : 180
  • ISBN 10 : 9781635260502

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Applied Econometrics with SAS Excerpt :

Using Applied Econometrics with SAS: Modeling Demand, Supply, and Risk, you will quickly master SAS applications for implementing and estimating standard models in the field of econometrics. This guide introduces you to the major theories underpinning applied demand and production economics. For each of its three main topics—demand, supply, and risk—a concise theoretical orientation leads directly into consideration of specific economic models and econometric techniques, collectively covering the following: Double-log demand systems Linear expenditure systems Almost ideal demand systems Rotterdam models Random parameters logit demand models Frequency-severity models Compound distribution models Cobb-Douglas production functions Translogarithmic cost functions Generalized Leontief cost functions Density estimation techniques Copula models SAS procedures that facilitate estimation of demand, supply, and risk models include the following, among others: PROC MODEL PROC COPULA PROC SEVERITY PROC KDE PROC LOGISTIC PROC HPCDM PROC IML PROC REG PROC COUNTREG PROC QLIM An empirical example, SAS programming code, and a complete data set accompany each econometric model, empowering you to practice these techniques while reading. Examples are drawn from both major scholarly studies and business applications so that professors, graduate students, government economic researchers, agricultural analysts, actuaries, and underwriters, among others, will immediately benefit. This book is part of the SAS Press program.

Modeling Dependence in Econometrics Book

Modeling Dependence in Econometrics


  • Author : Van-Nam Huynh
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-11-18
  • Genre: Technology & Engineering
  • Pages : 575
  • ISBN 10 : 9783319033952

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Modeling Dependence in Econometrics Excerpt :

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

Data Science for Financial Econometrics Book

Data Science for Financial Econometrics


  • Author : Nguyen Ngoc Thach
  • Publisher : Springer Nature
  • Release Date : 2020-11-13
  • Genre: Computers
  • Pages : 633
  • ISBN 10 : 9783030488536

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Data Science for Financial Econometrics Excerpt :

This book offers an overview of state-of-the-art econometric techniques, with a special emphasis on financial econometrics. There is a major need for such techniques, since the traditional way of designing mathematical models – based on researchers’ insights – can no longer keep pace with the ever-increasing data flow. To catch up, many application areas have begun relying on data science, i.e., on techniques for extracting models from data, such as data mining, machine learning, and innovative statistics. In terms of capitalizing on data science, many application areas are way ahead of economics. To close this gap, the book provides examples of how data science techniques can be used in economics. Corresponding techniques range from almost traditional statistics to promising novel ideas such as quantum econometrics. Given its scope, the book will appeal to students and researchers interested in state-of-the-art developments, and to practitioners interested in using data science techniques.

Financial Valuation and Econometrics Book

Financial Valuation and Econometrics


  • Author : Kian Guan Lim
  • Publisher : World Scientific
  • Release Date : 2011
  • Genre: Business & Economics
  • Pages : 496
  • ISBN 10 : 9789814307956

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Financial Valuation and Econometrics Excerpt :

This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and methods for investment and financial decision-making. The book is targeted at advanced finance undergraduates and beginner professionals performing financial forecasts or empirical modeling who will find it refreshing to see how forecasting is not simply running a least squares regression line across data points, and that there are many minefields and pitfalls to avoid, such as spurious results and incorrect interpretations.

Financial Econometrics Book
Score: 5
From 1 Ratings

Financial Econometrics


  • Author : Svetlozar T. Rachev
  • Publisher : John Wiley & Sons
  • Release Date : 2007-03-22
  • Genre: Business & Economics
  • Pages : 560
  • ISBN 10 : 9780470121528

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Financial Econometrics Excerpt :

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.