Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions f

Banks and banking --- Finance --- GARCH model. --- Econometric models.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

For his excellent monograph, David Ardia won the Chorafas prize 2008 at the University of Fribourg Switzerland. This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in particular the possibility of obtaining small-sample results and integrating these results in a formal decision model. The first two chapters introduce the work and give an overview of the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the linear regression models with conditionally Normal and Student-t-GJR errors. The sixth chapter shows how agents facing different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov-switching GJR model.

Bayesian statistical decision theory. --- Risk management --- GARCH model. --- Mathematical models. --- Bayes' solution --- Bayesian analysis --- Statistical decision --- Generalized ARCH model --- Generalized Autoregressive Conditional Heteroskedasticity model --- Derivative securities --- Stochastic models --- Mathematical models --- Econometrics. --- Macroeconomics. --- Statistics. --- Finance. --- Macroeconomics/Monetary Economics//Financial Economics. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Quantitative Finance. --- Funding --- Funds --- Economics --- Currency question --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- Economics, Mathematical --- Statistics --- Statistics . --- Economics, Mathematical . --- Mathematical economics --- Methodology --- Social sciences --- Macroeconomics and Monetary Economics. --- Statistics in Business, Management, Economics, Finance, Insurance. --- Mathematics in Business, Economics and Finance. --- Mathematics.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

"The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"--

Private finance --- Quantitative methods (economics) --- Banks and banking --- Finance --- GARCH model --- Business and economics --- Econometric models --- AA / International- internationaal --- 305.91 --- 305.970 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Generalized ARCH model --- Generalized Autoregressive Conditional Heteroskedasticity model --- Derivative securities --- Stochastic models --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Financial institutions --- Money --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Mathematical models --- Banks and banking - Econometric models --- Finance - Econometric models

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Modern financial management is largely about risk management, which is increasingly data-driven. The problem is how to extract information from the data overload. It is here that advanced statistical and machine learning techniques can help. Accordingly, finance, statistics, and data analytics go hand in hand. The purpose of this book is to bring the state-of-art research in these three areas to the fore and especially research that juxtaposes these three.

Index parameter --- estimation --- wrapped stable --- Hill estimator --- characteristic function-based estimator --- asymptotic --- efficiency --- GARCH model --- HARCH model --- PHARCH model --- Griddy-Gibs --- Euro-Dollar --- safe-haven assets --- gold price --- Swiss Franc exchange rate --- oil price --- generalized Birnbaum–Saunders distributions --- ACD models --- Box-Cox transformation --- high-frequency financial data --- goodness-of-fit --- banking competition --- credit risk --- NPLs --- Theil index --- convergence analysis --- interest rates --- yeld curve --- no-arbitrage --- bonds --- B-splines --- time series --- multifractal processes --- fractal scaling --- heavy tails --- long range dependence --- financial models --- Bitcoin --- capital asset pricing model --- estimation of systematic risk --- tests of mean-variance efficiency --- t-distribution --- generalized method of moments --- multifactor asset pricing model --- Lerner index --- stochastic frontiers --- shrinkage estimator --- seemingly unrelated regression model --- multicollinearity --- ridge regression --- financial incentives --- public service motivation --- job performance --- job satisfaction --- intention to leave

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

There is no term that better describes the essential features of human society than complexity. On various levels, from the decision-making processes of individuals, through to the interactions between individuals leading to the spontaneous formation of groups and social hierarchies, up to the collective, herding processes that reshape whole societies, all these features share the property of irreducibility, i.e., they require a holistic, multi-level approach formed by researchers from different disciplines. This Special Issue aims to collect research studies that, by exploiting the latest advances in physics, economics, complex networks, and data science, make a step towards understanding these economic and social systems. The majority of submissions are devoted to financial market analysis and modeling, including the stock and cryptocurrency markets in the COVID-19 pandemic, systemic risk quantification and control, wealth condensation, the innovation-related performance of companies, and more. Looking more at societies, there are papers that deal with regional development, land speculation, and the-fake news-fighting strategies, the issues which are of central interest in contemporary society. On top of this, one of the contributions proposes a new, improved complexity measure.

Information technology industries --- volatility clustering --- Baidu Index --- information demand --- generalized autoregressive conditional heteroscedasticity model (GARCH) --- mixture of distribution hypothesis --- speculation --- land acquisition --- motivation --- real estate --- development --- Ethiopia --- systemic risk --- macroprudential policy --- agent-based modelling --- inequality --- central-banking --- information transfer --- transfer entropy --- stock markets --- econophysics --- complexity science --- information theory --- economic complexity --- evolutionary dynamics --- network theory --- leveraged trading --- stock price crash risk --- threshold effect --- complexity in stock market --- entropy economics --- non-extensive cross-entropy econometrics --- non-ergodic ill-behaved inverse problems --- general system theory --- non-linear dynamics --- complex adaptive systems --- homo oeconomicus --- edge of chaos --- complexity economics --- pricing constraint --- IPO timing --- dynamic game model --- real option --- complexity of IPOs --- financial institution --- complex network --- jump volatility --- entropy weight TOPSIS --- structural entropy --- stock market --- EMD --- cluster-entropy --- Shannon-entropy --- financial markets --- time series --- dynamics --- Tsallis entropy --- copula functions --- cross-shareholding network --- finance --- cryptocurrencies --- multivariate transfer entropy --- complex networks --- liquidity proxy --- liquidity benchmark --- volatility estimate --- correlation coefficient --- partial determination --- mutual information --- forecasting market risk --- value at risk --- extreme returns --- peaks over threshold --- self-exciting point process --- discrete-time models --- generalized Pareto distribution --- dynamical complexity --- universal complexity measure --- irreversible processes --- entropies --- entropic susceptibilities --- complex systems --- multifractal analysis --- detrended cross-correlations --- minimal spanning tree --- wealth condensation --- agent-based computational economics --- bargaining --- gain function --- macroeconomics --- innovative activity --- manufacturing industry --- conjunctural movements --- cybernetics --- feedback loops --- correspondence analysis --- Polish Green Island effect --- Red Queen effect --- Kondratieff waves --- power law --- Zipf law --- gender productivity gap --- fake news --- rumor spreading --- Nash equilibrium --- evolutionarily stable strategies --- evolutionary information search dynamics --- nonlinear dynamics --- chaos --- time series analysis --- stock exchange market --- Lyapunov --- recurrence plots --- BDS --- correlation dimension --- GARCH model --- measure of economic development --- websites --- public administration sector --- municipality --- four-colour theorem --- prosumption --- platforms for participation --- location quotient --- dual graph --- Euler characteristic --- volatility clustering --- Baidu Index --- information demand --- generalized autoregressive conditional heteroscedasticity model (GARCH) --- mixture of distribution hypothesis --- speculation --- land acquisition --- motivation --- real estate --- development --- Ethiopia --- systemic risk --- macroprudential policy --- agent-based modelling --- inequality --- central-banking --- information transfer --- transfer entropy --- stock markets --- econophysics --- complexity science --- information theory --- economic complexity --- evolutionary dynamics --- network theory --- leveraged trading --- stock price crash risk --- threshold effect --- complexity in stock market --- entropy economics --- non-extensive cross-entropy econometrics --- non-ergodic ill-behaved inverse problems --- general system theory --- non-linear dynamics --- complex adaptive systems --- homo oeconomicus --- edge of chaos --- complexity economics --- pricing constraint --- IPO timing --- dynamic game model --- real option --- complexity of IPOs --- financial institution --- complex network --- jump volatility --- entropy weight TOPSIS --- structural entropy --- stock market --- EMD --- cluster-entropy --- Shannon-entropy --- financial markets --- time series --- dynamics --- Tsallis entropy --- copula functions --- cross-shareholding network --- finance --- cryptocurrencies --- multivariate transfer entropy --- complex networks --- liquidity proxy --- liquidity benchmark --- volatility estimate --- correlation coefficient --- partial determination --- mutual information --- forecasting market risk --- value at risk --- extreme returns --- peaks over threshold --- self-exciting point process --- discrete-time models --- generalized Pareto distribution --- dynamical complexity --- universal complexity measure --- irreversible processes --- entropies --- entropic susceptibilities --- complex systems --- multifractal analysis --- detrended cross-correlations --- minimal spanning tree --- wealth condensation --- agent-based computational economics --- bargaining --- gain function --- macroeconomics --- innovative activity --- manufacturing industry --- conjunctural movements --- cybernetics --- feedback loops --- correspondence analysis --- Polish Green Island effect --- Red Queen effect --- Kondratieff waves --- power law --- Zipf law --- gender productivity gap --- fake news --- rumor spreading --- Nash equilibrium --- evolutionarily stable strategies --- evolutionary information search dynamics --- nonlinear dynamics --- chaos --- time series analysis --- stock exchange market --- Lyapunov --- recurrence plots --- BDS --- correlation dimension --- GARCH model --- measure of economic development --- websites --- public administration sector --- municipality --- four-colour theorem --- prosumption --- platforms for participation --- location quotient --- dual graph --- Euler characteristic