Stochastic Volatility
Stochastic Volatility

Author: Neil Shephard

Publisher: OUP Oxford

Published: 2005-03-10

Total Pages: 536

ISBN-13: 0191531421

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Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

Modelling and Prediction Honoring Seymour Geisser
Modelling and Prediction Honoring Seymour Geisser

Author: Jack C. Lee

Publisher: Springer

Published: 2013-12-20

Total Pages: 458

ISBN-13: 1461224144

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Modelling and Prediction Honoring Seymour Geisser contains the refereed proceedings of the Conference on Forecasting, Prediction, and Modelling held at National Chiao Tung University, Taiwan in 1994. The papers discuss general methodological issues; prediction; design of experiments and classification; prior distributions and estimation; posterior odds, testing, and model selection; modelling and prediction in finance; and time series modelling and applications. Specific topics include very interesting and topical statistical issues related to DNA fingerprinting and spatial image reconstruction, foundational issues for applied statistics and testing hypotheses, forecasting tax revenues and bond prices, and assessing oxone depletion.

Bayesian Statistics 6
Bayesian Statistics 6

Author: J. M. Bernardo

Publisher: Oxford University Press

Published: 1999-08-12

Total Pages: 886

ISBN-13: 9780198504856

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Bayesian statistics is a dynamic and fast-growing area of statistical research and the Valencia International Meetings provide the main forum for discussion. These resulting proceedings form an up-to-date collection of research.

Modeling Stochastic Volatility with Application to Stock Returns
Modeling Stochastic Volatility with Application to Stock Returns

Author: Mr.Noureddine Krichene

Publisher: International Monetary Fund

Published: 2003-06-01

Total Pages: 30

ISBN-13: 1451854846

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A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.

Decision Sciences
Decision Sciences

Author: Raghu Nandan Sengupta

Publisher: CRC Press

Published: 2016-11-30

Total Pages: 936

ISBN-13: 1351727400

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This handbook is an endeavour to cover many current, relevant, and essential topics related to decision sciences in a scientific manner. Using this handbook, graduate students, researchers, as well as practitioners from engineering, statistics, sociology, economics, etc. will find a new and refreshing paradigm shift as to how these topics can be put to use beneficially. Starting from the basics to advanced concepts, authors hope to make the readers well aware of the different theoretical and practical ideas, which are the focus of study in decision sciences nowadays. It includes an excellent bibliography/reference/journal list, information about a variety of datasets, illustrated pseudo-codes, and discussion of future trends in research. Covering topics ranging from optimization, networks and games, multi-objective optimization, inventory theory, statistical methods, artificial neural networks, times series analysis, simulation modeling, decision support system, data envelopment analysis, queueing theory, etc., this reference book is an attempt to make this area more meaningful for varied readers. Noteworthy features of this handbook are in-depth coverage of different topics, solved practical examples, unique datasets for a variety of examples in the areas of decision sciences, in-depth analysis of problems through colored charts, 3D diagrams, and discussions about software.

Bayesian Econometrics
Bayesian Econometrics

Author: Siddhartha Chib

Publisher: Emerald Group Publishing

Published: 2008-12-18

Total Pages: 656

ISBN-13: 1848553099

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Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.

Perspectives on Econometrics and Applied Economics
Perspectives on Econometrics and Applied Economics

Author: Mark Taylor

Publisher: Routledge

Published: 2014-06-11

Total Pages: 129

ISBN-13: 1317978501

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This volume is dedicated to the memory and the achievements of Professor Sir Clive Granger, economics Nobel laureate and one of the great econometricians and applied economists of the twentieth and early twenty-first centuries. It comprises contributions from leading econometricians and applied economists who knew Sir Clive and interacted with him over the years, and who wished to pay tribute to him as both a great economist and econometrician, and as a great man. This book was originally published as a special issue of Applied Financial Economics.

Handbook of Statistical Methods and Analyses in Sports
Handbook of Statistical Methods and Analyses in Sports

Author: Jim Albert

Publisher: CRC Press

Published: 2017-02-03

Total Pages: 463

ISBN-13: 1351678965

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This handbook will provide both overviews of statistical methods in sports and in-depth treatment of critical problems and challenges confronting statistical research in sports. The material in the handbook will be organized by major sport (baseball, football, hockey, basketball, and soccer) followed by a section on other sports and general statistical design and analysis issues that are common to all sports. This handbook has the potential to become the standard reference for obtaining the necessary background to conduct serious statistical analyses for sports applications and to appreciate scholarly work in this expanding area.

Handbook of Computational Finance
Handbook of Computational Finance

Author: Jin-Chuan Duan

Publisher: Springer Science & Business Media

Published: 2011-10-25

Total Pages: 791

ISBN-13: 3642172547

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Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fair value is likely to be some complicated function of the current intrinsic value of tangible or intangible assets underlying the claim and our assessment of the characteristics of the underlying assets with respect to the expected rate of growth, future dividends, volatility, and other relevant market factors. Some of these factors that affect the price can be measured at the time of a transaction with reasonably high accuracy. Most factors, however, relate to expectations about the future and to subjective issues, such as current management, corporate policies and market environment, that could affect the future financial performance of the underlying assets. Models are thus needed to describe the stochastic factors and environment, and their implementations inevitably require computational finance tools.