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Book
Dynamic models for volatility and heavy tails : with applications to financial and economic time series
Author:
ISSN: 20592507 ISBN: 9781107034723 9781107630024 9781139540933 1107630029 1107034728 1107327121 1107333563 1107335221 1107336880 1139540939 Year: 2013 Volume: 52 Publisher: Cambridge Cambridge University Press

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Abstract

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.


Book
Stochastic calculus for finance
Authors: --- ---
ISBN: 9780521175739 9781107002647 9781139017367 9781139551748 1139551744 1139017365 9781139549240 1139549243 1283610809 9781283610803 9786613923257 6613923257 1107002648 0521175739 1316089258 1139564072 1139550497 1139555456 1139554204 Year: 2012 Publisher: Cambridge Cambridge University Press

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This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Itô integrals in some detail, with a focus on results needed for the Black-Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Itô formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Itô calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.

Time series : applications to finance
Author:
ISBN: 0471411175 9780471411178 Year: 2002 Publisher: New York : Wiley-Interscience,

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Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book. * Full set of exercises is displayed at the end of each chapter. * First seven chapters cover standard topics in time series at a high-intensity level. * Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail. * Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.

Economic forecasting : an introduction
Authors: --- ---
ISBN: 0521356121 052135692X 0511628609 Year: 1990 Publisher: Cambridge : Cambridge University Press,

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This book provides an introduction to the methods employed in forecasting the future state of the economy. It provides a comprehensive coverage of methods and applications in this fast-growing area and is intended for use in postgraduate and upper-level undergraduate courses. Part I outlines the available techniques, particularly those used in business forecasting and econometric forecasting. The state of the art in time series modelling is reviewed and includes a discussion of Box-Jenkins models, the vector autogressive approach and cointegration. Ways of combining forecasts are also examined in detail. Part II considers the most important applications of forecasting. Applications in microeconomics include demand and sales forecasting, the use of anticipations data, leading indicators and scenario analysis. In macroeconomics the emphasis is on why errors occur in forecasting asset market prices, including implications of the efficient markets hypothesis for foreign markets, stock market prices and commodity market prices. The book ends with a discussion of the appropriateness of various techniques, recent developments in forecasting, and the links between economic forecasting and government policy.


Book
The nobility of failure : Tragic heroes in the history of Japan
Author:
ISBN: 0436288095 Year: 1975 Publisher: London Secker and Warburg

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