Volatility and Time Series Econometrics

Volatility and Time Series Econometrics

Author: Mark Watson

Publisher: Oxford University Press

Published: 2010-02-11

Total Pages: 432

ISBN-13: 0199549494

DOWNLOAD EBOOK

A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics


Handbook of Insurance

Handbook of Insurance

Author: Georges Dionne

Publisher: Springer Science & Business Media

Published: 2013-12-02

Total Pages: 1133

ISBN-13: 1461401550

DOWNLOAD EBOOK

This new edition of the Handbook of Insurance reviews the last forty years of research developments in insurance and its related fields. A single reference source for professors, researchers, graduate students, regulators, consultants and practitioners, the book starts with the history and foundations of risk and insurance theory, followed by a review of prevention and precaution, asymmetric information, risk management, insurance pricing, new financial innovations, reinsurance, corporate governance, capital allocation, securitization, systemic risk, insurance regulation, the industrial organization of insurance markets and other insurance market applications. It ends with health insurance, longevity risk, long-term care insurance, life insurance financial products and social insurance. This second version of the Handbook contains 15 new chapters. Each of the 37 chapters has been written by leading authorities in risk and insurance research, all contributions have been peer reviewed, and each chapter can be read independently of the others.


Volatility

Volatility

Author: Robert A. Jarrow

Publisher:

Published: 1998

Total Pages: 472

ISBN-13:

DOWNLOAD EBOOK

Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.


The Effectiveness of Monetary Policy Transmission Under Capital Inflows

The Effectiveness of Monetary Policy Transmission Under Capital Inflows

Author: Ms.Sonali Jain-Chandra

Publisher: International Monetary Fund

Published: 2012-11-02

Total Pages: 19

ISBN-13: 1475579713

DOWNLOAD EBOOK

The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The main objective of this paper is to assess whether this is true for emerging Asia’s economies. Using a dynamic factor model and a structural vector auto-regression model, we show that long-term interest rates in Asia are indeed predominantly driven by global factors. However, monetary policy transmission mechanism remains effective in the region, as it operates predominantly through short-term interest rates. Nevertheless, the monetary transmission mechanism, though effective, is somewhat weaker in Asia during the periods of surges in capital inflows.


Bond and Money Markets

Bond and Money Markets

Author: Moorad Choudhry

Publisher: Butterworth-Heinemann

Published: 2003-07-04

Total Pages: 1152

ISBN-13: 0080574939

DOWNLOAD EBOOK

The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices* A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics


Stock Market Volatility

Stock Market Volatility

Author: Greg N. Gregoriou

Publisher: CRC Press

Published: 2009-04-08

Total Pages: 654

ISBN-13: 1420099558

DOWNLOAD EBOOK

Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel


Multi-Asset Risk Modeling

Multi-Asset Risk Modeling

Author: Morton Glantz

Publisher: Academic Press

Published: 2013-12-03

Total Pages: 545

ISBN-13: 0124016944

DOWNLOAD EBOOK

Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. - Covers all asset classes - Provides mathematical theoretical explanations of risk as well as practical examples with empirical data - Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities