Some Properties of Absolute Return
Author | : Clive William John Granger |
Publisher | : |
Total Pages | : 27 |
Release | : 1993 |
Genre | : Rate of return |
ISBN | : |
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Author | : Clive William John Granger |
Publisher | : |
Total Pages | : 27 |
Release | : 1993 |
Genre | : Rate of return |
ISBN | : |
Author | : Clive W. J. Granger |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
Let a(theta) represent the absolute value of the daily return (after subtraction of mean return) raised to the power theta, so that a(two) is just the return squared. Duncan Luce (Theory and Decision, 1980) using an axiomatic approach suggested that a(theta) was a suitable class of measures of risk, with theta as the choice of the individual. The empirical properties of these measures are investigated using daily Samp;P 500 index data for the period January 3, 1928 to August 30, 1991. It is found that: (i) correlation (a(theta, day t), a(theta, day t-k)) remains positive and significant for many lags k (up to two thousand) for most positive values of theta. (ii) this quot;long-memoryquot; property is strongest for theta=1 compared to theta values both larger and smaller than one. (iii) if a few outliers are reduced, the marginal distribution of the absolute return has approximately an exponential distribution. Reasons for and implications of these results are explored.
Author | : Thomas Lux |
Publisher | : Springer Science & Business Media |
Total Pages | : 326 |
Release | : 2006-06-06 |
Genre | : Business & Economics |
ISBN | : 3540272968 |
Economic application of nonlinear dynamics, microscopic agent-based modelling, and the use of artificial intelligence techniques as learning devices of boundedly rational actors are among the most exciting interdisciplinary ventures of economic theory over the past decade. This volume provides us with a most fascinating series of examples on "complexity in action" exemplifying the scope and explanatory power of these innovative approaches.
Author | : United States. Congress. Senate. Committee on the Judiciary |
Publisher | : |
Total Pages | : 350 |
Release | : 1954 |
Genre | : Enemy property |
ISBN | : |
Author | : United States. Congress. Senate. Committee on the Judiciary. Special Subcommittee To Examine and Review the Administration of the Trading With the Enemy Act |
Publisher | : |
Total Pages | : 260 |
Release | : 1954 |
Genre | : Alien property |
ISBN | : |
Considers (83) S. 3423.
Author | : Robert Adler |
Publisher | : Springer Science & Business Media |
Total Pages | : 560 |
Release | : 1998-10-26 |
Genre | : Mathematics |
ISBN | : 9780817639518 |
Twenty-four contributions, intended for a wide audience from various disciplines, cover a variety of applications of heavy-tailed modeling involving telecommunications, the Web, insurance, and finance. Along with discussion of specific applications are several papers devoted to time series analysis, regression, classical signal/noise detection problems, and the general structure of stable processes, viewed from a modeling standpoint. Emphasis is placed on developments in handling the numerical problems associated with stable distribution (a main technical difficulty until recently). No index. Annotation copyrighted by Book News, Inc., Portland, OR
Author | : T. Mills |
Publisher | : Springer |
Total Pages | : 354 |
Release | : 2012-11-27 |
Genre | : Business & Economics |
ISBN | : 1137291265 |
This book develops the major themes of time series analysis from its formal beginnings in the early part of the 20th century to the present day through the research of six distinguished British statisticians, all of whose work is characterised by the British traits of pragmatism and the desire to solve practical problems of importance.
Author | : Sitabhra Sinha |
Publisher | : John Wiley & Sons |
Total Pages | : 371 |
Release | : 2010-12-06 |
Genre | : Science |
ISBN | : 3527408150 |
Filling the gap for an up-to-date textbook in this relatively new interdisciplinary research field, this volume provides readers with a thorough and comprehensive introduction. Based on extensive teaching experience, it includes numerous worked examples and highlights in special biographical boxes some of the most outstanding personalities and their contributions to both physics and economics. The whole is rounded off by several appendices containing important background material.
Author | : Wai-sum Chan |
Publisher | : World Scientific |
Total Pages | : 396 |
Release | : 2000-04-28 |
Genre | : Mathematics |
ISBN | : 1783261668 |
Contents:Heavy-Tailed and Nonlinear Continuous-Time ARMA Models for Financial Time Series (P J Brockwell)Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance (G Kitagawa & S Sato)Nonparametric Estimation and Bootstrap for Financial Time Series (J-P Kreiβ)A Note on Kernel Estimation in Integrated Time Series (Y-C Xia et al.)Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update (C W J Granger et al.)Volatility Computed by Time Series Operators at High Frequency (U A Müller)Missing Values in ARFIMA Models (W Palma)Second Order Tail Effects (C G de Vries)Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions (S T B Choy & C M Chan)On a Smooth Transition Double Threshold Model (Y N Lee & W K Li)Interval Prediction of Financial Time Series (B Cheng & H Tong)A Decision Theoretic Approach to Forecast Evaluation (C W J Granger & M H Pesaran)Portfolio Management and Market Risk Quantification Using Neural Networks (J Franke)Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets (X B Zhang et al.)and other papers Readership: Researchers in finance, time series analysis, economics and actuarial science, as well as investment bankers, stock market analysts and risk managers. Keywords:Proceedings;Workshop;Statistics;Finance;Hongkong (China)
Author | : David Hartzell |
Publisher | : John Wiley & Sons |
Total Pages | : 596 |
Release | : 2021-01-05 |
Genre | : Business & Economics |
ISBN | : 1119526094 |
The fully revised and updated version of the leading textbook on real estate investment, emphasising real estate cycles and the availability and flow of global capital Real Estate Investment remains the most influential textbook on the subject, used in top-tier colleges and universities worldwide. Its unique, practical perspective on international real estate investment focusses on real-world techniques which measure, benchmark, forecast and manage property investments as an asset class. The text examines global property markets and real estate cycles, outlines market fundamentals and explains asset pricing and portfolio theory in the context of real estate. In the years since the text’s first publication, conditions in global real estate markets have changed considerably following the financial crisis of 2008-2009. Real estate asset prices have increased past pre-crisis levels, signalling a general market recovery. Previously scarce debt and equity capital is now abundant, while many institutions once averse to acquiring property are re-entering the markets. The latest edition – extensively revised and updated to address current market trends and practices as well as reflect feedback from instructors and students – features new content on real estate development, improved practical examples, expanded case studies and more. This seminal textbook: Emphasises practical solutions to real investing problems rather than complex theory Offers substantial new and revised content throughout the text Covers topics such as valuation, leasing, mortgages, real estate funds, underwriting and private and public equity real estate Features up-to-date sections on performance measurement, real estate debt markets and building and managing real estate portfolios Includes access to a re-designed companion website containing numerous problems and solutions, presentation slides and additional instructor and student resources Written by internationally-recognised experts in capital management and institutional property investing strategies, Real Estate Investment, Second Edition: Strategies, Structures, Decisions is an indispensable textbook for instructors and students of real estate fund management, investment management and investment banking, as well as a valuable reference text for analysts, researchers, investment managers, investment bankers and asset managers.