Econometrics of Risk

Econometrics of Risk
Author: Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta,Komsan Suriya
Publsiher: Springer
Total Pages: 498
Release: 2014-12-15
ISBN 10: 3319134493
ISBN 13: 9783319134499
Language: EN, FR, DE, ES & NL

Econometrics of Risk Book Review:

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

The Econometrics of Individual Risk
Author: Christian Gourieroux,Joann Jasiak
Publsiher: Princeton University Press
Total Pages: 256
Release: 2011-07-24
ISBN 10: 9781400829415
ISBN 13: 1400829410
Language: EN, FR, DE, ES & NL

The Econometrics of Individual Risk Book Review:

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

Risk Measurement  Econometrics and Neural Networks
Author: Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollmer
Publsiher: Springer Science & Business Media
Total Pages: 306
Release: 2012-12-06
ISBN 10: 3642582729
ISBN 13: 9783642582721
Language: EN, FR, DE, ES & NL

Risk Measurement Econometrics and Neural Networks Book Review:

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

Market Risk Analysis  Practical Financial Econometrics
Author: Carol Alexander
Publsiher: John Wiley & Sons
Total Pages: 426
Release: 2008-04-30
ISBN 10: 0470771038
ISBN 13: 9780470771037
Language: EN, FR, DE, ES & NL

Market Risk Analysis Practical Financial Econometrics Book Review:

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

High Frequency Financial Econometrics
Author: Luc Bauwens,Winfried Pohlmeier,David Veredas
Publsiher: Springer Science & Business Media
Total Pages: 312
Release: 2007-12-31
ISBN 10: 3790819921
ISBN 13: 9783790819922
Language: EN, FR, DE, ES & NL

High Frequency Financial Econometrics Book Review:

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.

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures

Financial Econometrics Modeling  Market Microstructure  Factor Models and Financial Risk Measures
Author: G. Gregoriou,R. Pascalau
Publsiher: Springer
Total Pages: 257
Release: 2010-12-13
ISBN 10: 0230298109
ISBN 13: 9780230298101
Language: EN, FR, DE, ES & NL

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

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 Mathematics Statistics And Machine Learning In 4 Volumes

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes
Author: Cheng-few Lee,John C Lee
Publsiher: World Scientific
Total Pages: 5056
Release: 2020-07-30
ISBN 10: 9811202400
ISBN 13: 9789811202407
Language: EN, FR, DE, ES & NL

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

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.

Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Ait-Sahalia,Lars Peter Hansen
Publsiher: Elsevier
Total Pages: 808
Release: 2009-10-19
ISBN 10: 9780080929842
ISBN 13: 0080929842
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics Book Review:

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

The Econometrics of Networks
Author: Áureo de Paula,Elie Tamer,Marcel-Cristian Voia
Publsiher: Emerald Group Publishing
Total Pages: 496
Release: 2020-10-19
ISBN 10: 1838675779
ISBN 13: 9781838675776
Language: EN, FR, DE, ES & NL

The Econometrics of Networks Book Review:

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.

Modeling Dependence in Econometrics

Modeling Dependence in Econometrics
Author: Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta
Publsiher: Springer Science & Business Media
Total Pages: 575
Release: 2013-11-18
ISBN 10: 3319033956
ISBN 13: 9783319033952
Language: EN, FR, DE, ES & NL

Modeling Dependence in Econometrics Book Review:

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

Data Science for Financial Econometrics
Author: Nguyen Ngoc Thach,Vladik Kreinovich,Nguyen Duc Trung
Publsiher: Springer Nature
Total Pages: 633
Release: 2020-11-13
ISBN 10: 3030488535
ISBN 13: 9783030488536
Language: EN, FR, DE, ES & NL

Data Science for Financial Econometrics Book Review:

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.

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics
Author: Simone Manganelli
Publsiher: Unknown
Total Pages: 240
Release: 2000
ISBN 10: 1928374650XXX
ISBN 13: UCSD:31822028304194
Language: EN, FR, DE, ES & NL

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics Book Review:

Financial Valuation and Econometrics

Financial Valuation and Econometrics
Author: Kian Guan Lim
Publsiher: World Scientific
Total Pages: 481
Release: 2011
ISBN 10: 9814307955
ISBN 13: 9789814307956
Language: EN, FR, DE, ES & NL

Financial Valuation and Econometrics Book Review:

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

Financial Econometrics
Author: Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publsiher: John Wiley & Sons
Total Pages: 560
Release: 2007-03-22
ISBN 10: 0470121521
ISBN 13: 9780470121528
Language: EN, FR, DE, ES & NL

Financial Econometrics Book Review:

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.

Volatility and Time Series Econometrics

Volatility and Time Series Econometrics
Author: Tim Bollerslev,Jeffrey Russell,Mark Watson
Publsiher: OUP Oxford
Total Pages: 432
Release: 2010-02-11
ISBN 10: 0191572195
ISBN 13: 9780191572197
Language: EN, FR, DE, ES & NL

Volatility and Time Series Econometrics Book Review:

Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study the behavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.

Panel Data Econometrics

Panel Data Econometrics
Author: Mike Tsionas
Publsiher: Academic Press
Total Pages: 1011
Release: 2019-06-20
ISBN 10: 0128158603
ISBN 13: 9780128158609
Language: EN, FR, DE, ES & NL

Panel Data Econometrics Book Review:

Panel Data Econometrics: Empirical Applications introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts

Quantitative Econometrics

Quantitative Econometrics
Author: Anonim
Publsiher: Allied Publishers
Total Pages: 135
Release: 1998
ISBN 10: 9788170238171
ISBN 13: 817023817X
Language: EN, FR, DE, ES & NL

Quantitative Econometrics Book Review:

Introductory Econometrics for Finance

Introductory Econometrics for Finance
Author: Chris Brooks
Publsiher: Cambridge University Press
Total Pages: 750
Release: 2019-03-28
ISBN 10: 1108422535
ISBN 13: 9781108422536
Language: EN, FR, DE, ES & NL

Introductory Econometrics for Finance Book Review:

Offers econometrics for finance students with no prior knowledge of the field. Includes case studies, examples and extensive online support.

Health Econometrics

Health Econometrics
Author: Badi H. Baltagi,Francesco Moscone
Publsiher: Emerald Group Publishing
Total Pages: 408
Release: 2018-05-30
ISBN 10: 1787439267
ISBN 13: 9781787439269
Language: EN, FR, DE, ES & NL

Health Econometrics Book Review:

This volume covers a wide range of existing and emerging topics in applied health economics, including behavioural economics, medical care risk, social insurance, discrete choice models, cost-effectiveness analysis, health and immigration, and more.

Advances in Economics and Econometrics

Advances in Economics and Econometrics
Author: Econometric Society. World Congress,Daron Acemoglu,Manuel Arellano,Eddie Dekel
Publsiher: Cambridge University Press
Total Pages: 568
Release: 2013-05-27
ISBN 10: 1107016053
ISBN 13: 9781107016057
Language: EN, FR, DE, ES & NL

Advances in Economics and Econometrics Book Review:

The second volume of edited papers from the Tenth World Congress of the Econometric Society 2010.