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Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle
| Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-15821-X
9786612158216 1-4008-3019-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index |
| Record Nr. | UNINA-9910455225903321 |
Engle R. F (Robert F.)
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||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle
| Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| ISBN |
1-282-15821-X
9786612158216 1-4008-3019-2 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index |
| Record Nr. | UNINA-9910778220803321 |
|
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipating correlations : a new paradigm for risk management / / Robert Engle
| Anticipating correlations : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| ISBN |
9786612158216
9781282158214 128215821X 9781400830190 1400830192 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index |
| Record Nr. | UNINA-9910962555103321 |
|
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The basics of financial econometrics : tools, concepts, and asset management applications / / Frank J. Fabozzi [and three others] ; with the assistance of Markus Höchstötter
| The basics of financial econometrics : tools, concepts, and asset management applications / / Frank J. Fabozzi [and three others] ; with the assistance of Markus Höchstötter |
| Autore | Fabozzi Frank J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2014 |
| Descrizione fisica | 1 online resource (450 p.) |
| Disciplina | 330.01/5195 |
| Collana |
Frank J. Fabozzi Series
THEi Wiley ebooks |
| Soggetto topico |
Finance - Econometric models
Econometrics |
| ISBN |
1-118-72723-1
1-118-85640-6 1-118-72743-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Basics of Financial Econometrics; Contents; Preface; Acknowledgments; About the Authors; CHAPTER 1 Introduction; FINANCIAL ECONOMETRICS AT WORK; Step 1: Model Selection; Step 2: Model Estimation; Step 3: Model Testing; THE DATA GENERATING PROCESS; APPLICATIONS OF FINANCIAL ECONOMETRICS TO INVESTMENT MANAGEMENT; Asset Allocation; Portfolio Construction; Portfolio Risk Management; Key Points; CHAPTER 2 Simple Linear Regression; THE ROLE OF CORRELATION; Stock Return Example; REGRESSION MODEL: LINEAR FUNCTIONAL RELATIONSHIP BETWEEN TWO VARIABLES
DISTRIBUTIONAL ASSUMPTIONS OF THE REGRESSION MODEL ESTIMATING THE REGRESSION MODEL; Application to Stock Returns; GOODNESS-OF-FIT OF THE MODEL; Relationship between Coefficient of Determination and Correlation Coefficient; TWO APPLICATIONS IN FINANCE; Estimating the Characteristic Line of a Mutual Fund; Controlling the Risk of a Stock Portfolio; LINEAR REGRESSION OF A NONLINEAR RELATIONSHIP; Linear Regression of Exponential Data; KEY POINTS; CHAPTER 3 Multiple Linear Regression; THE MULTIPLE LINEAR REGRESSION MODEL; ASSUMPTIONS OF THE MULTIPLE LINEAR REGRESSION MODEL ESTIMATION OF THE MODEL PARAMETERSDESIGNING THE MODEL; DIAGNOSTIC CHECK AND MODEL SIGNIFICANCE; Testing for the Significance of the Model; Testing for the Significance of the Independent Variables; The F-Test for Inclusion of Additional Variables; APPLICATIONS TO FINANCE; Estimation of Empirical Duration; Predicting the 10-Year Treasury Yield; Benchmark Selection: Sharpe Benchmarks; Return-Based Style Analysis for Hedge Funds; Rich/Cheap Analysis for the Mortgage Market; Testing for Strong-Form Pricing Efficiency; Tests of the Capital Asset Pricing Model; Evidence for Multifactor Models KEY POINTS CHAPTER 4 Building and Testing a Multiple Linear Regression Model; THE PROBLEM OF MULTICOLLINEARITY; Procedures for Mitigating Multicollinearity; MODEL BUILDING TECHNIQUES; Stepwise Inclusion Regression Method; Stepwise Exclusion Regression Method; Standard Stepwise Regression Method; TESTING THE ASSUMPTION OF THE MULTIPLE LINEAR REGRESSION MODEL; Tests for Linearity; Assumed Statistical Properties about the Error Term; Tests for the Residuals Being Normally Distributed; Tests For Constant Variance of the Error Term (Homoscedasticity); Absence of Autocorrelation of the Residuals KEY POINTS CHAPTER 5 Introduction to Time Series Analysis; WHAT IS A TIME SERIES?; DECOMPOSITION OF TIME SERIES; Application to S&P 500 Index Returns; REPRESENTATION OF TIME SERIES WITH DIFFERENCE EQUATIONS; APPLICATION: THE PRICE PROCESS; Random Walk; Error Correction; KEY POINTS; CHAPTER 6 Regression Models with Categorical Variables; INDEPENDENT CATEGORICAL VARIABLES; Statistical Tests; DEPENDENT CATEGORICAL VARIABLES; Linear Probability Model; Probit Regression Model; Logit Regression Model; KEY POINTS; CHAPTER7 Quantile Regressions; LIMITATIONS OF CLASSICAL REGRESSION ANALYSIS PARAMETER ESTIMATION |
| Record Nr. | UNINA-9910140283203321 |
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Fabozzi Frank J
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| Hoboken, New Jersey : , : John Wiley & Sons, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Core inflation measures and statistical issues in choosing among them [[electronic resource] /] / prepared by Mick Silver
| Core inflation measures and statistical issues in choosing among them [[electronic resource] /] / prepared by Mick Silver |
| Autore | Silver M. S |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Statistics Dept, 2006 |
| Descrizione fisica | 1 online resource (58 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Inflation (Finance) - Econometric models
Finance - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-1752-9
1-4527-4207-3 1-283-51312-9 9786613825575 1-4519-0891-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. CONCEPTS AND PRACTICAL ISSUES""; ""III. SOURCES OF ERROR AND BIAS IN A CPI""; ""IV. THE METHODS""; ""V. HOW TO CHOOSE AMONG METHODS: JUDGING WHICH IS BEST""; ""VI. CONCLUDING REMARKS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464567003321 |
|
Silver M. S
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| [Washington, D.C.], : International Monetary Fund, Statistics Dept, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Core Inflation Measures and Statistical Issues in Choosing Among Them / / Mick Silver
| Core Inflation Measures and Statistical Issues in Choosing Among Them / / Mick Silver |
| Autore | Silver Mick |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (58 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Inflation (Finance) - Econometric models
Finance - Econometric models Inflation Macroeconomics Money and Monetary Policy Price Level Deflation Monetary Policy Monetary economics Consumer price indexes Inflation targeting Price indexes Prices Monetary policy |
| ISBN |
1-4623-1752-9
1-4527-4207-3 1-283-51312-9 9786613825575 1-4519-0891-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. CONCEPTS AND PRACTICAL ISSUES""; ""III. SOURCES OF ERROR AND BIAS IN A CPI""; ""IV. THE METHODS""; ""V. HOW TO CHOOSE AMONG METHODS: JUDGING WHICH IS BEST""; ""VI. CONCLUDING REMARKS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788408503321 |
|
Silver Mick
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Core Inflation Measures and Statistical Issues in Choosing Among Them / / Mick Silver
| Core Inflation Measures and Statistical Issues in Choosing Among Them / / Mick Silver |
| Autore | Silver Mick |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (58 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Inflation (Finance) - Econometric models
Finance - Econometric models Consumer price indexes Deflation Inflation targeting Inflation Macroeconomics Monetary economics Monetary Policy Monetary policy Money and Monetary Policy Price indexes Price Level Prices |
| ISBN |
9786613825575
9781462317523 1462317529 9781452742076 1452742073 9781283513128 1283513129 9781451908916 1451908911 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. CONCEPTS AND PRACTICAL ISSUES""; ""III. SOURCES OF ERROR AND BIAS IN A CPI""; ""IV. THE METHODS""; ""V. HOW TO CHOOSE AMONG METHODS: JUDGING WHICH IS BEST""; ""VI. CONCLUDING REMARKS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910975147303321 |
|
Silver Mick
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Data science for financial econometrics / / Nguyen Ngoc Thach, Vladik Kreinovich, Nguyen Duc Trung, editors
| Data science for financial econometrics / / Nguyen Ngoc Thach, Vladik Kreinovich, Nguyen Duc Trung, editors |
| Edizione | [1st ed. 2021.] |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (X, 633 p. 91 illus., 71 illus. in color.) |
| Disciplina | 332.015195 |
| Collana | Studies in computational intelligence |
| Soggetto topico | Finance - Econometric models |
| ISBN | 3-030-48853-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | A Theory-based Lasso for Time-Series Data -- Invariance-Based Explanation -- Composition of Quantum Operations and Their Fixed Points -- Information quality: the contribution of fuzzy methods -- Parameter-Centric Analysis Grossly Exaggerates Certainty -- Three Approaches to the Comparison of Random Variables -- A QP framework: a contextual representation of agents' preferences in investment choice -- How to Make a Decision Based on the Minimum Bayes Factor (MBF): Explanation of the Jeffreys Scale -- Extending the A Priori Procedure (APP) to Address Correlation Coefficients -- Variable Selection and Estimation in Kink Regression Model -- Performance of microfinance institutions in Vietnam -- Factors Influencing on University Reputation in Viet Nam: Model Selection by AIC -- Impacts of Internal and External Macro Factors on Firm Stock Price in an Expansion Econometric Model – A Case in Vietnam Real Estate Industry -- How Values Influence Economic Progress? An Evidence from South And Southeast Asian Countries -- The Effect of Governance Characteristics on Firm Performance: Evidence from Vietnam -- Does Capital Affect Bank Risk in Vietnam: A Bayesian Approach. |
| Record Nr. | UNINA-9910484284403321 |
| Cham, Switzerland : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Do financial sector reforms lead to financial development? : evidence from a new dataset / / Thierry Tressel and Enrica Detragiache
| Do financial sector reforms lead to financial development? : evidence from a new dataset / / Thierry Tressel and Enrica Detragiache |
| Autore | Tressel Thierry |
| Pubbl/distr/stampa | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (44 p.) |
| Disciplina | 338.9 |
| Altri autori (Persone) | DetragiacheEnrica |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Finance - Econometric models
Economic development - Econometric models Banks and banking - Econometric models Right of property - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7596-0
1-4527-2082-7 9786612842160 1-4518-7123-6 1-282-84216-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. The Empirical Model; III. The Data; IV. Estimation Results; V. Conclusions; References; Tables; 1. Sample Countries; 2. Summary Statistics; 3. Cross-Correlations; 4. Baseline Regression: Two Alternative Maximum Lags; 5A. What Explains the Lack of Sustained Effect of Reforms on Financial Depth in Developing Countries? Shocks, Policies, Non-Linearities; 5B. What Explains the Lack of Sustained Effect of Reforms on Financial Depth in Developing Countries? Institutions; 6. Regressions Countries with Good Property Rights; 7. GMM Regressions
8. Regressions with 5 Year Periods Panels9. Impact of Specific Banking Sector Reforms on Financial Depth; Figures; 1. Financial Reforms by Regions; 2. Private Credit to GDP Around Episodes of Banking Reform; 3. Financial Depth and Banking Reform Index-evolution of cross-sectional dispersion; 4. Financial Depth and Banking Reform Index-correlation over time; 5. Estimated Effect of Banking Reforms on the Private Credit to GDP Ratio; Data Appendix; Appendix; Empirical Specification |
| Record Nr. | UNINA-9910464251703321 |
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Tressel Thierry
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| [Washington, District of Columbia] : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Do Financial Sector Reforms Lead to Financial Development? Evidence from a New Dataset / / Thierry Tressel, Enrica Detragiache
| Do Financial Sector Reforms Lead to Financial Development? Evidence from a New Dataset / / Thierry Tressel, Enrica Detragiache |
| Autore | Tressel Thierry |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (44 p.) |
| Disciplina | 338.9 |
| Altri autori (Persone) | DetragiacheEnrica |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Finance - Econometric models
Economic development - Econometric models Banks and banking - Econometric models Right of property - Econometric models Banks and Banking Finance: General Money and Monetary Policy Banks Depository Institutions Micro Finance Institutions Mortgages Financial Markets and the Macroeconomy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Banking Finance Monetary economics Financial sector development Credit Commercial banks Bank credit Banks and banking Financial services industry |
| ISBN |
1-4623-7596-0
1-4527-2082-7 9786612842160 1-4518-7123-6 1-282-84216-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. The Empirical Model; III. The Data; IV. Estimation Results; V. Conclusions; References; Tables; 1. Sample Countries; 2. Summary Statistics; 3. Cross-Correlations; 4. Baseline Regression: Two Alternative Maximum Lags; 5A. What Explains the Lack of Sustained Effect of Reforms on Financial Depth in Developing Countries? Shocks, Policies, Non-Linearities; 5B. What Explains the Lack of Sustained Effect of Reforms on Financial Depth in Developing Countries? Institutions; 6. Regressions Countries with Good Property Rights; 7. GMM Regressions
8. Regressions with 5 Year Periods Panels9. Impact of Specific Banking Sector Reforms on Financial Depth; Figures; 1. Financial Reforms by Regions; 2. Private Credit to GDP Around Episodes of Banking Reform; 3. Financial Depth and Banking Reform Index-evolution of cross-sectional dispersion; 4. Financial Depth and Banking Reform Index-correlation over time; 5. Estimated Effect of Banking Reforms on the Private Credit to GDP Ratio; Data Appendix; Appendix; Empirical Specification |
| Record Nr. | UNINA-9910788341003321 |
|
Tressel Thierry
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||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
