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Theoretical and Empirical Analysis of Common Factors in a Term Structure Model

Author: Ting Ting Huang

Publisher: Cambridge Scholars Publishing

Published: 2009-10-02

Total Pages: 89

ISBN-13: 1443815829

This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialists to understand, and the mathematical tools required for applications can be intimidating. Although many of the copula models used in finance are theoretical, the nature of financial data suggests the empirical copula is more appropriate for forecasting and accurately describing returns, volatility and interdependence.

A Tale of Two Yield Curves

Author: Alexei V. Egorov

Publisher:

Published: 2008

Total Pages: 39

ISBN-13:

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Modeling the joint term structure of interest rates in the United States and the European Union, the two largest economies in the world, is extremely important in international finance. In this paper, we provide both theoretical and empirical analysis of multi-factor joint affine term structure models for dollar and euro interest rates. In particular, we provide a systematic classification of multi-factor joint affine term structure models similar to that of Dai and Singleton (2000). A principal component analysis of daily dollar and euro interest rates reveals four factors in the data. We estimate four-factor joint affine term structure models using the approximate maximum likelihood method of Ait-Sahalia (2002, 2007) and compare the in-sample and out-of-sample performances of these models using some of the latest nonparametric methods. We find that a new four-factor model with two common and two local factors captures the joint term structure dynamics in the U.S. and the E.U. reasonably well.

Commodities

Author: M. A. H. Dempster

Publisher: CRC Press

Published: 2015-11-05

Total Pages: 725

ISBN-13: 1498712339

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Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi

The New Palgrave Dictionary of Economics

Author:

Publisher: Springer

Published: 2016-05-18

Total Pages: 7493

ISBN-13: 1349588024

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The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Encyclopedia of Finance

Author: Cheng-Few Lee

Publisher: Springer Nature

Published: 2022-09-12

Total Pages: 2746

ISBN-13: 3030912310

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The Encyclopedia of Finance comprehensively covers the broad spectrum of terms and topics relating finance from asset pricing models to option pricing models to risk management and beyond. This third edition is comprised of over 1,300 individual definitions, chapters, appendices and is the most comprehensive and up-to-date resource in the field, integrating the most current terminology, research, theory, and practical applications. It includes 200 new terms and essays; 25 new chapters and four new appendices. Showcasing contributions from an international array of experts, the revised edition of this major reference work is unparalleled in the breadth and depth of its coverage.

Investments: Portfolio theory and asset pricing

Author: Edwin J. Elton

Publisher: MIT Press

Published: 1999

Total Pages: 452

ISBN-13: 9780262050593

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This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz. Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.

Long-run Growth and Short-run Stabilization

Author: The late Lawrence R. Klein

Publisher: Edward Elgar Publishing

Published: 2006-02-24

Total Pages: 434

ISBN-13: 9781781950500

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There is much confusion in the economics literature on wage determination and the employment-inflation trade-off. Few model builders pay as much careful attention to the definition and meaning of long-run concepts as did Albert Ando. Expanding on years of painstaking work by Ando, the contributors elaborate on the main issues of economic analysis and policies that concerned him.

Statistical Methods for Validation of Assessment Scale Data in Counseling and Related Fields

Author: Dimiter M. Dimitrov

Publisher: John Wiley & Sons

Published: 2014-11-03

Total Pages: 352

ISBN-13: 1119019281

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“Dr. Dimitrov has constructed a masterpiece—a classic resource that should adorn the shelf of every counseling researcher and graduate student serious about the construction and validation of high quality research instruments. —Bradley T. Erford, PhD Loyola University Maryland Past President, American Counseling Association “This book offers a comprehensive treatment of the statistical models and methods needed to properly examine the psychometric properties of assessment scale data. It is certain to become a definitive reference for both novice and experienced researchers alike.” —George A. Marcoulides, PhD University of California, Riverside This instructive book presents statistical methods and procedures for the validation of assessment scale data used in counseling, psychology, education, and related fields. In Part I, measurement scales, reliability, and the unified construct-based model of validity are discussed, along with key steps in instrument development. Part II describes factor analyses in construct validation, including exploratory factor analysis, confirmatory factor analysis, and models of multitrait-multimethod data analysis. Traditional and Rasch-based analyses of binary and rating scales are examined in Part III. Dr. Dimitrov offers students, researchers, and clinicians step-by-step guidance on contemporary methodological principles, statistical methods, and psychometric procedures that are useful in the development or validation of assessment scale data. Numerous examples, tables, and figures provided throughout the text illustrate the underlying principles of measurement in a clear and concise manner for practical application. *Requests for digital versions from ACA can be found on www.wiley.com. *To purchase print copies, please visit the ACA website here. *Reproduction requests for material from books published by ACA should be directed to [email protected]

Single-factor and Multi-factor Affine-yield Term Structure Models

Author: Palle Dumstrei

Publisher:

Published: 1999

Total Pages: 88

ISBN-13:

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Econometric Analysis of Model Selection and Model Testing

Author: M. Ishaq Bhatti

Publisher: Routledge

Published: 2017-03-02

Total Pages: 286

ISBN-13: 135194195X

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In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.