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Credit Correlation [[electronic resource] ] : Theory and Practice / / by Youssef Elouerkhaoui
Credit Correlation [[electronic resource] ] : Theory and Practice / / by Youssef Elouerkhaoui
Autore Elouerkhaoui Youssef
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Descrizione fisica 1 online resource (XXIV, 456 p. 67 illus.)
Disciplina 332
Collana Applied Quantitative Finance
Soggetto topico Bank marketing
Economics, Mathematical 
Financial Services
Quantitative Finance
ISBN 3-319-60973-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter 1 Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities -- Chapter2 Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula -- Chapter3 The Basics of Default Correlation Modelling -- Chapter4 Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions -- Chapter5 Correlation Demystified: A General Overview -- Chapter6 An Introduction to the Marshall-Olkin Copula -- Chapter7 Numerical Tools: Basket Asymptotic Expansions -- Chapter8 CDO-Squared: Correlation of Correlation -- Chapter9 Second Generation Models: From Flat Correlation to Correlation Skew -- Chapter10 Third Generation Models: From Static to Dynamic Models -- Chapter11 Pricing in a Dynamic Credit Model -- Chapter12 Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics -- Chapter13 Base Correlation Calibration with a Stochastic Recovery Model -- Chapter14 Hedging in Incomplete Credit Markets: JTD vs CR01 -- Chapter15 New Frontiers in Credit Modelling: the CVA Challenge.
Record Nr. UNINA-9910255036403321
Elouerkhaoui Youssef  
Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Credit Risk Management [[electronic resource] ] : Pricing, Measurement, and Modeling / / by Jiří Witzany
Credit Risk Management [[electronic resource] ] : Pricing, Measurement, and Modeling / / by Jiří Witzany
Autore Witzany Jiří
Edizione [1st ed. 2017.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Descrizione fisica 1 online resource (XVI, 256 p. 87 illus., 65 illus. in color.)
Disciplina 658.88
Soggetto topico Banks and banking
Business enterprises—Finance
Risk management
Financial engineering
Economics, Mathematical 
Banking
Business Finance
Risk Management
Financial Engineering
Quantitative Finance
ISBN 3-319-49800-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Introduction -- Credit Risk Management -- Rating and Scoring Systems -- Portfolio Credit Risk -- Credit Derivatives -- Conclusion -- Index.
Record Nr. UNINA-9910255027703321
Witzany Jiří  
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Credit-Risk Modelling [[electronic resource] ] : Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python / / by David Jamieson Bolder
Credit-Risk Modelling [[electronic resource] ] : Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python / / by David Jamieson Bolder
Autore Bolder David Jamieson
Edizione [1st ed. 2018.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018
Descrizione fisica 1 online resource (704 pages)
Disciplina 332.701
Soggetto topico Risk management
Business enterprises—Finance
Economics, Mathematical 
Financial engineering
Banks and banking
Statistics 
Risk Management
Business Finance
Quantitative Finance
Financial Engineering
Banking
Statistics for Business, Management, Economics, Finance, Insurance
ISBN 3-319-94688-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Getting Started -- Part I Modelling Frameworks -- A Natural First Step.-Mixture or Actuarial Models -- Threshold Models.-The Genesis of Credit-Risk Modelling -- Part II Diagnostic Tools -- A Regulatory Perspective -- Risk Attribution -- Monte Carlo Methods -- Part III Parameter Estimation -- Default Probabilities -- Default and Asset Correlation.
Record Nr. UNINA-9910299638903321
Bolder David Jamieson  
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Cryptofinance and Mechanisms of Exchange [[electronic resource] ] : The Making of Virtual Currency / / edited by Stéphane Goutte, Khaled Guesmi, Samir Saadi
Cryptofinance and Mechanisms of Exchange [[electronic resource] ] : The Making of Virtual Currency / / edited by Stéphane Goutte, Khaled Guesmi, Samir Saadi
Edizione [1st ed. 2019.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2019
Descrizione fisica 1 online resource (x, 198 pages)
Disciplina 343.032
Collana Contributions to Management Science
Soggetto topico Risk management
Business enterprises—Finance
Macroeconomics
Banks and banking
Economics, Mathematical 
Computers
Risk Management
Business Finance
Macroeconomics/Monetary Economics//Financial Economics
Banking
Quantitative Finance
Information Systems and Communication Service
ISBN 3-030-30738-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Chapter 1 Cryptocurrencies as an Asset Class -- Chapter 2 Are virtual currencies virtuous? Ethical and Environmental Issues -- Chapter 3 Cryptocurrency Mining -- Chapter 4 Regulating Bitcoin: A Tax Case Study -- Chapter 5 Are Cryptocurrencies Truly Trustless? -- Chapter 6 Blockchain & Alternative Sources of Financing -- Chapter 7 Tokenomics -- Chapter 8 Crypto Tokens and Token Offerings: An Introduction -- Chapter 9 Initial Coin Offerings: What Do We Know and What are the Success Factors? -- Chapter 10 Initial Coin Offerings (ICOs): Risks, Regulation, and Accountability -- Chapter 11 Cryptocurrencies and Risk Mitigation.
Record Nr. UNINA-9910370254803321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2019
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Derivative Pricing in Discrete Time [[electronic resource] /] / by Nigel J. Cutland, Alet Roux
Derivative Pricing in Discrete Time [[electronic resource] /] / by Nigel J. Cutland, Alet Roux
Autore Cutland Nigel J
Edizione [1st ed. 2013.]
Pubbl/distr/stampa London : , : Springer London : , : Imprint : Springer, , 2013
Descrizione fisica 1 online resource (328 p.)
Disciplina 332.6457
Collana Springer Undergraduate Mathematics Series
Soggetto topico Economics, Mathematical 
Probabilities
Finance
Quantitative Finance
Probability Theory and Stochastic Processes
Finance, general
ISBN 1-4471-4408-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Derivative Pricing and Hedging -- A Simple Market Model -- Single-Period Models -- Multi-Period Models: No-Arbitrage Pricing -- Multi-Period Models: Risk-Neutral Pricing -- The Cox-Ross-Rubinstein model -- American Options -- Advanced Topics.
Record Nr. UNINA-9910438143203321
Cutland Nigel J  
London : , : Springer London : , : Imprint : Springer, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Derivative Security Pricing [[electronic resource] ] : Techniques, Methods and Applications / / by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos
Derivative Security Pricing [[electronic resource] ] : Techniques, Methods and Applications / / by Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos
Autore Chiarella Carl
Edizione [1st ed. 2015.]
Pubbl/distr/stampa Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015
Descrizione fisica 1 online resource (616 p.)
Disciplina 332.6457
Collana Dynamic Modeling and Econometrics in Economics and Finance
Soggetto topico Finance
Economics, Mathematical 
Macroeconomics
Probabilities
Mathematical optimization
Operations research
Decision making
Finance, general
Quantitative Finance
Macroeconomics/Monetary Economics//Financial Economics
Probability Theory and Stochastic Processes
Optimization
Operations Research/Decision Theory
ISBN 3-662-45906-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Part I The Fundamentals of Derivative Security Pricing -- 1 The Stock Option Problem -- 2 Stochastic Processes for Asset Price Modelling -- 3 An Initial Attempt at Pricing an Option -- 4 The Stochastic Differential Equation -- 5 Manipulating Stochastic Differential Equations and Stochastic Integrals -- 6 Ito's Lemma and Its Application -- 7 The Continuous Hedging Argument -- 8 Martingale Interpretation of No-Riskless Arbitrage -- 9 The Partial Differential Equation Approach Under Geometric Brownian Motion -- 10 Pricing Derivative Securities - A General Approach -- 11 Applying the General Pricing Framework -- 12 Jump-Diffusion Processes -- Option Pricing under Jump-Diffusion Processes -- 14 Partial Differential Equation Approach under Geometric Jump-Diffusion Process -- 15 Stochastic Volatility -- 16 Pricing the American Feature -- 17 Pricing Options Using Binominal Trees -- 18 Volatility Smiles -- Part II Interest Rate Modelling -- 19 Allowing for Stochastic Interest Rates in the B-S Model -- 20 Change of Numeraire -- 21 The Paradigm Interest Rate Option Problem -- 22 Modelling Interest Rate Dynamics -- 23 Interest Rate Derivatives - One Factor Spot Rate Models -- 24 Interest Rate Derivatives - Multi-Factor Models -- 25 The Heath-Jarrow-Morton Framework -- 26 The LIBOR Market Model.                   .
Record Nr. UNINA-9910298472503321
Chiarella Carl  
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Discrete Time Series, Processes, and Applications in Finance [[electronic resource] /] / by Gilles Zumbach
Discrete Time Series, Processes, and Applications in Finance [[electronic resource] /] / by Gilles Zumbach
Autore Zumbach Gilles
Edizione [1st ed. 2013.]
Pubbl/distr/stampa Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013
Descrizione fisica 1 online resource (325 p.)
Disciplina 621.38
Collana Springer Finance
Soggetto topico Economics, Mathematical 
Probabilities
Statistics 
Quantitative Finance
Probability Theory and Stochastic Processes
Statistics for Business, Management, Economics, Finance, Insurance
ISBN 1-283-69758-0
3-642-31742-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Preface -- List of Figures.-List of Tables -- 1. Introduction -- 2.Notation, naming and general definitions -- 3.Stylized facts -- 4.Empirical mug shots -- 5.Process Overview -- 6.Logarithmic versus relative random walks -- 7.ARCH processes -- 8.Stochastic volatility processes -- 9.Regime switching process -- 10.Price and volatility using high-frequency data -- 11.Time reversal asymmetry -- 12.Characterizing heteroskedasticity -- 13.The innovation distributions -- 14.Leverage effect -- 15.Processes and market risk evaluation -- 16.Option pricing -- 17.Properties of large covariance matrices -- 18.Multivariate ARCH processes -- 19.The processes compatible with the stylized facts -- 20.Further thoughts.-Bibliography -- Index.
Record Nr. UNINA-9910437864103321
Zumbach Gilles  
Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Dynamic Markov Bridges and Market Microstructure [[electronic resource] ] : Theory and Applications / / by Umut Çetin, Albina Danilova
Dynamic Markov Bridges and Market Microstructure [[electronic resource] ] : Theory and Applications / / by Umut Çetin, Albina Danilova
Autore Çetin Umut
Edizione [1st ed. 2018.]
Pubbl/distr/stampa New York, NY : , : Springer New York : , : Imprint : Springer, , 2018
Descrizione fisica 1 online resource (xiv, 234 pages)
Disciplina 519.24
Collana Probability Theory and Stochastic Modelling
Soggetto topico Probabilities
Economics, Mathematical 
Statistics 
Probability Theory and Stochastic Processes
Quantitative Finance
Statistics for Business, Management, Economics, Finance, Insurance
ISBN 1-4939-8835-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Markov processes -- Stochastic Differential Equations and Martingale Problems -- Stochastic Filtering -- Static Markov Bridges and Enlargement of Filtrations -- Dynamic Bridges -- Financial markets with informational asymmetries and equilibrium -- Kyle-Back model with dynamic information: no default case -- Appendix A.
Record Nr. UNINA-9910300114603321
Çetin Umut  
New York, NY : , : Springer New York : , : Imprint : Springer, , 2018
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Dynamic systems models [[electronic resource] ] : new methods of parameter and state estimation / / by Josif A. Boguslavskiy ; edited by Mark Borodovsky
Dynamic systems models [[electronic resource] ] : new methods of parameter and state estimation / / by Josif A. Boguslavskiy ; edited by Mark Borodovsky
Autore Boguslavskiy Josif A
Edizione [1st ed. 2016.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Descrizione fisica 1 online resource (219 p.)
Disciplina 530
Soggetto topico Statistical physics
Mathematical models
Aerospace engineering
Astronautics
Signal processing
Image processing
Speech processing systems
Economics, Mathematical 
Applications of Nonlinear Dynamics and Chaos Theory
Mathematical Modeling and Industrial Mathematics
Aerospace Technology and Astronautics
Signal, Image and Speech Processing
Quantitative Finance
ISBN 3-319-04036-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto From the Contents: Linear Estimators of a Random-Parameter Vector.-Basis of the Method of Polynomial Approximation -- Polynomial Approximation and Optimization of Control -- Polynomial Approximation Technique Applied to Inverse Vector Functions -- Identification of Parameters of Nonlinear Dynamical Systems: Smoothing, Filtering and Forecasting the State Vector -- Estimating Status Vectors from Sight Angles -- Estimation of Parameters of Stochastic Models -- Designing the Control of Motion to a Target Point of Phase Space -- Inverse Problems of Dynamics Algorithm for Identifying Parameters of an Aircraft.
Record Nr. UNINA-9910254629403321
Boguslavskiy Josif A  
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016
Materiale a stampa
Lo trovi qui: Univ. Federico II
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Econometrics of Risk [[electronic resource] /] / edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya
Econometrics of Risk [[electronic resource] /] / edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya
Edizione [1st ed. 2015.]
Pubbl/distr/stampa Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015
Descrizione fisica 1 online resource (X, 498 p. 94 illus., 19 illus. in color.)
Disciplina 332
Collana Studies in Computational Intelligence
Soggetto topico Computational intelligence
Economics, Mathematical 
Econometrics
Quality control
Reliability
Industrial safety
Computational Intelligence
Quantitative Finance
Quality Control, Reliability, Safety and Risk
ISBN 3-319-13449-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- Preface -- Contents -- Part IFundamental Theory -- Challenges for Panel Financial Analysis -- 1 Introduction -- 2 Estimation of Panel Standard Errors -- 3 Multiple Equations Modeling -- 4 To Pool or Not to Pool -- 5 Aggregation and Predictions -- 6 Cross-Sectional Dependence -- 7 Multi-dimensional Statistics -- 8 Concluding Remarks -- References -- Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates -- 1 Introduction -- 2 The Bitcoin/USD Exchange Rate -- 2.1 Bitcoin Currency -- 2.2 Bitcoin Transactions -- 2.3 The Data -- 3 The Model -- 3.1 The Noncausal and Mixed Autoregressive Process -- 3.2 The Bubble Effect -- 3.3 Estimation and Inference -- 3.4 Forecasting -- 4 Application -- 4.1 ACF Analysis -- 4.2 Global and Local Trends -- 4.3 The Causal and Noncausal Components -- 4.4 Prediction -- 5 Conclusion -- References -- An Overview of the Black-Scholes-Merton Model After the 2008 Credit Crisis -- 1 Introduction -- 2 Credit Value Adjustment (CVA) and Debit Value Adjustment (DVA) -- 3 The Risk-Free Rate: The Proxies LIBOR Versus OIS -- 4 Collateral and Funding Costs -- 5 The FVA Debate -- 6 The BSM Model -- 6.1 The BSM Model Which Includes Collateral and Funding Costs -- 6.2 The BSM Model Which Includes CVA, DVA and FCA -- 7 Conclusion -- References -- What if We Only Have Approximate Stochastic Dominance? -- 1 Stochastic Dominance: Reminder and Formulation of the Problem -- 2 How to Make Decisions Under Approximate Stochastic Dominance: Analysis of the Problem -- 3 How to Make Decisions Under Approximate Stochastic Dominance: Main Result -- References -- From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account -- 1 Mean Income, Median Income, What Next? -- 2 Analysis of the Problem and the Resulting Measure.
3 First Example of Using the New Measure of ``Average'' Income: Case of Low Inequality -- 4 Second Example of Using the New Measure of ``Average'' Income: Case of a Heavy-Tailed Distribution -- 5 Auxiliary Result: The New Measure of ``Average'' Income May Explain the Power-Law Character of Income Distribution -- References -- Belief Aggregation in Financial Markets and the Nature of Price Fluctuations -- 1 Introduction -- 2 Belief Aggregation -- 3 The Portfolio -- 4 The Nature of Price Fluctuations -- References -- The Dynamics of Hedge Fund Performance -- 1 Introduction -- 2 Fund Performance Dynamics -- 2.1 Performance and Ranking -- 2.2 Stochastic Migration and Migration Correlation -- 3 Application to Hedge Funds -- 3.1 Data -- 3.2 Summary Statistics of Returns -- 3.3 The Ratings -- 3.4 Time Homogeneous Transition Matrices -- 3.5 Time Heterogeneous Transition Matrices -- 3.6 Stochastic Transition -- 3.7 Duration Analysis -- 4 Conclusion -- References -- The Joint Belief Function and Shapley Value for the Joint Cooperative Game -- 1 Introduction -- 2 The Characterization of the Joint Belief Function of Discrete Random Set Vector -- 3 The Joint Cooperative Game -- 4 The Bivariate Shapley Value -- 4.1 The Bivariate Shapley Value Through the Cores of the Belief Function H -- 4.2 The Bivariate Shapley Value Through the Joint Game -- References -- Distortion Risk Measures Under Skew Normal Settings -- 1 Introduction -- 2 Distortion Risk Measures -- 3 A New Distortion Function Based on the Wang Transform -- 4 The Capital Asset Pricing Model -- 5 The Model for the Behavior of Stock Prices -- 6 Simulation Results -- 7 Conclusion -- References -- Towards Generalizing Bayesian Statistics: A Random Fuzzy Set Approach -- 1 Introduction -- 2 Coarsening Schemes for Experts' Knowledge -- 3 Random Sets -- 3.1 Finite Random Sets -- 3.2 Random Closed Sets.
3.3 Random Fuzzy Closed Sets -- 4 Concluding Remarks -- References -- Local Kendall's Tau -- 1 Introduction and Preliminaries -- 2 Uni-conditional Local Kendall's Tau -- 3 Bi-conditional Local Kendall's Tau -- 4 Pointwise Kendall's Tau -- References -- Estimation and Prediction Using Belief Functions: Application to Stochastic Frontier Analysis -- 1 Introduction -- 2 Inference and Prediction Using Belief Functions -- 2.1 Inference -- 2.2 Prediction -- 3 Application to Stochastic Frontier Analysis -- 3.1 Model and Inference -- 3.2 Simulation Experiments -- 4 Conclusions -- References -- The Classifier Chain Generalized Maximum Entropy Model for Multi-label Choice Problems -- 1 Introduction -- 2 The Single-Label GME Model -- 3 The Multi-label CC-GME Model -- 3.1 The CC Model -- 3.2 The CC-GME Model -- 3.3 Result Analysis -- 4 Monte-Carlo Experiment -- 4.1 Simulation -- 4.2 Results -- 5 Occupational Hazards Empirical Example -- 5.1 Data Description -- 5.2 Results -- 6 Concluding Remarks -- References -- Part IIApplications -- Asymmetric Volatility of Local Gold Prices in Malaysia -- 1 Introduction -- 2 Literature Review -- 3 Volatility Model -- 3.1 TGARCH Model -- 3.2 EGARCH Model -- 4 Empirical Analysis -- 4.1 Data -- 4.2 Descriptive Statistics -- 4.3 Econometrics Analysis -- 5 Conclusion -- References -- Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model -- 1 Introduction -- 2 Quantile Regression Model -- 3 Validating Linear Quantile Models -- 4 An Application to the Stock Market -- 4.1 Capital Asset Pricing Model:CAPM -- 4.2 Beta estimation -- 4.3 Empirical Results -- 4.4 Measures the volatility of stock -- 5 Conclusions and Extension -- References -- Evaluation of Portfolio Returns in Fama-French Model Using Quantile Regression Under Asymmetric Laplace Distribution -- 1 Introduction.
2 Quantile Regression and Fama-French Model -- 2.1 Quantile Regression with an Asymmetric Laplace Distribution -- 2.2 Fama-French Three-Factor Model -- 3 Simulated Data for ALD -- 4 Application to Portfolio Evaluation -- 4.1 Model and Parameters Estimation -- 4.2 Experimental Results -- 4.3 In Sample prediction -- 5 Conclusions -- References -- Analysis of Branching Ratio of Telecommunication Stocks in Thailand Using Hawkes Process -- 1 Introduction -- 2 Literature Review -- 3 Methodology -- 3.1 Hawkes Process -- 3.2 Parameter Estimation of Hawkes Process -- 3.3 Compensator of Hawkes Process -- 3.4 Goodness of fit -- 4 Empirical Results -- 5 Conclusion and Further Study -- References -- Forecasting Risk and Returns: CAPM Model with Belief Functions -- 1 Introduction -- 2 Maximum Likelihood Estimation of Capital Asset Pricing Model -- 3 Statistical Inference and Prediction Using Belief Functions -- 3.1 Belief Functions -- 3.2 Likelihood-based Belief Functions -- 3.3 Incorporating the Belief Functions -- 4 An Application to Stock Market -- 4.1 Data -- 5 Conclusions -- References -- Correlation Evaluation with Fuzzy Data and its Application in the Management Science -- 1 Introduction -- 2 Fuzzy Theory and Fuzzy Data -- 2.1 Continuous Fuzzy Data -- 2.2 Collecting Continuous Fuzzy Data -- 3 Fuzzy Correlation -- 4 Empirical Studies -- 5 Conclusions -- References -- Empirical Evidence Linking Futures Price Movements of Biofuel Crops and Conventional Energy Fuel -- 1 Introduction -- 2 Copula Based ARMAX-GARCH Models -- 2.1 ARMAX-GARCH Model -- 2.2 Copulas -- 2.3 Time-Varying Copulas -- 3 Vine Copulas -- 4 The Data and Empirical Results -- 4.1 The Data -- 4.2 The Results of ARMAX-GARCH Model -- 4.3 Results for the Static and Time-Varying C-Vine Copula -- 5 Forecasting of the ES and Optimal Portfolio -- 6 Conclusions -- References.
Optimal Portfolio Selection Using Maximum Entropy Estimation Accounting for the Firm Specific Characteristics -- 1 Introduction -- 2 Literature Review -- 2.1 The Problem of Portfolio Selection Weights -- 2.2 The Firm Characteristics Influence on Optimal Weights -- 3 Methodology -- 3.1 Introduction to Maximum Entropy Method -- 3.2 The Maximum Entropy Method to Portfolio Selection Accounting for Firm Characteristics -- 3.3 Discussion of Advantage and Disadvantage -- 4 Empirical Application -- 4.1 Data Description -- 4.2 The Results of Out-of-Sample Forecasts -- 5 Conclusion -- References -- Risk, Return and International Portfolio Analysis: Entropy and Linear Belief Functions -- 1 Introduction -- 2 Methodology -- 2.1 Portfolio Selection Methods -- 2.2 Linear Belief Function -- 3 An Application to International Portfolio Evaluation -- 4 Conclusions -- References -- Forecasting Inbound Tourism Demand to China Using Time Series Models and Belief Functions -- 1 Introduction -- 2 Methodology -- 2.1 Time Series Models -- 2.2 Likelihood-Based Belief Function -- 3 Estimation and Comparison of Time-Series Models -- 3.1 Data Description -- 3.2 Empirical Results -- 4 Forecast Using the Belief Function Approach -- 5 Conclusions -- References -- Forecasting Tourist Arrivals to Thailand Using Belief Functions -- 1 Introduction -- 2 Definitions, Literature Reviews and Methodology -- 2.1 Basics of Belief Functions -- 2.2 Likelihood-Based Belief Function -- 2.3 Forecasting Using Belief Functions -- 2.4 Review of the Seasonal ARIMA Model -- 3 Application to Tourist Arrivals to Thailand -- 3.1 Data -- 3.2 SARIMA Models -- 3.3 Approach with Belief Functions -- 3.4 Forecasting Using Belief Functions -- 4 Discussion -- 4.1 Combining Historical Data with Expert Opinions -- 5 Concluding Remarks -- References.
Copula Based Polychotomous Choice Selectivity Model: Application to Occupational Choice and Wage Determination of Older Workers.
Record Nr. UNINA-9910299700003321
Cham : , : Springer International Publishing : , : Imprint : Springer, , 2015
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui