Econometric methods and their applications in finance, macro and related fields / editors, Kaddour Hadri, William Mikhail.

Format:

Book

Author/Creator:

African Econometric Society Annual Conference, Corporate Author.

Contributor:

Mikhail, William, editor.

Hadri, K. (Kaddour), editor.

Language:

English

Subjects (All):

Finance--Econometric models--Congresses.

Finance.

Econometrics--Congresses.

Econometrics.

Physical Description:

1 online resource (616 p.)

Place of Publication:

Singapore : World Scientific, 2014.

Language Note:

English

Summary:

The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the "chapters" of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models' ability to generate meaningful scenarios for forecasting and policy analysis. Contents: Financial Econometrics and International Finance: Modeling Interest Rates Using Reducible Stochastic Differentia

Contents:

Preface; Contents; Part I: Financial Econometrics and International Finance; Chapter 1: Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach; 1. Introduction; 2. Nonlinear Multivariate Modeling; 2.1. Modeling marginal processes using RSDEs; 2.2. Modeling multivariate distribution with copulas; 3. RSDEs with Constant Elasticity Volatility; 3.1. OU-CEV and CIR-CEV specifications; 3.2. Analysis of the distributions; 3.2.1. CIR-CEV; 3.2.2. OU-CEV; 3.3. The conditional transformation

4. Bivariate Modeling of US and UK Short-term Interest Rates4.1. Data; 4.2. Modeling univariate interest rates; 4.3. Bivariate modeling through copulas; 4.4. Copula results; 5. Conclusion; Appendix; References; Chapter 2: Financial Risk Management Using Asymmetric Heavy-tailed Distributions and Nonlinear Dependence Structures of Asset Returns under Discontinuous Dynamics; 1. Introduction; 2. The NIG Distribution; 3. The Copula Model; 4. Application; 5. Conclusion; References; Chapter 3: Time-varying Dependence in the Term Structure of Interest Rates: A Copula-based Approach; 1. Introduction

2. Background Theory2.1. The Dynamic Nelson-Siegel (DNS) model; 2.2. Copula theory; 3. Model Specification and Estimation Strategy; 4. Empirical Analysis; 4.1. Data; 4.2. Estimated DNS model factors; 4.3. Estimation results: Marginal models; 4.4. Estimation results: Copula model; 5. Conclusions and Future Work; References; Chapter 4: Nonlinear Filtering and Market Implied Rating for a Jump-diffusion Structural Model of Credit Risk; 1. Introduction; 2. The Model; 3. Sequential Parameter and State Estimation; 4. Simulation Study; 5. Conclusion; References

Chapter 5: Time-varying Optimal Weights for International Asset Allocation in African and South Asian Markets1. Introduction; 2. Econometric Model; 3. Data and Empitical Results; 3.1. Data used; 3.2. Empirical results of DCC estimation denominated in local currency; 3.2.1. Results for Africa; 3.2.2. Results for South and East Asia; 3.3. Empirical results of DCC estimation denominated in US dollar; 3.3.1. Results for Africa; 3.3.2. Results for South and East Asia; 4. Conditional Optimal Portfolio Weights; 4.1. Using estimations based on the DCC model denominated in local currency

4.1.1. Results for Africa4.1.2. Results for South and East Asia; 4.2. Using estimations based on the DCC model denominated in US dollar; 4.2.1. Results for Africa; 4.2.2. Results for South and East Asia; 5. International Diversification Gains; 5.1. Sharpe ratios based on the DCC estimation denominated in local currency; 5.2. Sharpe ratios based on the DCC estimation denominated in US dollar; 6. Conditional Correlation; 7. Conclusion; References; Part II: Econometric Theory and Methods; Chapter 6: Econometric Methods for Ordered Responses: Some Recent Developments; 1. Introduction

2. Statistical Models for Ordered Responses

Notes:

Description based upon print version of record.

Includes bibliographical references at the end of each chapters and index.

Description based on print version record.

ISBN:

9789814513470

9814513474

9789814513487

9814513482