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Book
Dynamic models for volatility and heavy tails
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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,

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Abstract

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.


Book
Complete and incomplete econometric models
Author:
ISBN: 9780691140025 0691140022 9786612936289 9786612473159 1400835240 128293628X 1282473158 9781400835249 9781282473157 9781282936287 Year: 2010 Publisher: Princeton : Princeton University Press,

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Abstract

Econometric models are widely used in the creation and evaluation of economic policy in the public and private sectors. But these models are useful only if they adequately account for the phenomena in question, and they can be quite misleading if they do not. In response, econometricians have developed tests and other checks for model adequacy. All of these methods, however, take as given the specification of the model to be tested. In this book, John Geweke addresses the critical earlier stage of model development, the point at which potential models are inherently incomplete. Summarizing and extending recent advances in Bayesian econometrics, Geweke shows how simple modern simulation methods can complement the creative process of model formulation. These methods, which are accessible to economics PhD students as well as to practicing applied econometricians, streamline the processes of model development and specification checking. Complete with illustrations from a wide variety of applications, this is an important contribution to econometrics that will interest economists and PhD students alike.


Book
The economics of inaction : stochastic control models with fixed costs
Author:
ISBN: 9780691135052 0691135053 9786612158735 1282158732 140082981X 9781400829811 9781282158733 Year: 2009 Publisher: Princeton : Princeton University Press,

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Abstract

In economic situations where action entails a fixed cost, inaction is the norm. Action is taken infrequently, and adjustments are large when they occur. Interest in economic models that exhibit ''lumpy'' behavior of this kind has exploded in recent years, spurred by growing evidence that it is typical in many important economic decisions, including price setting, investment, hiring, durable goods purchases, and portfolio management. In The Economics of Inaction, leading economist Nancy Stokey shows how the tools of stochastic control can be applied to dynamic problems of decision making under uncertainty when fixed costs are present. Stokey provides a self-contained, rigorous, and clear treatment of two types of models, impulse and instantaneous control. She presents the relevant results about Brownian motion and other diffusion processes, develops methods for analyzing each type of problem, and discusses applications to price setting, investment, and durable goods purchases. This authoritative book will be essential reading for graduate students and researchers in macroeconomics.

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