Contagion Phenomena with Applications in Finance

Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability

Produk Detail:

  • Author : Serge Darolles
  • Publisher : Elsevier
  • Pages : 166 pages
  • ISBN : 0081004788
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKContagion Phenomena with Applications in Finance

Contagion Phenomena with Applications in Finance

Contagion Phenomena with Applications in Finance
  • Author : Serge Darolles,Christian Gourieroux
  • Publisher : Elsevier
  • Release : 26 August 2015
GET THIS BOOKContagion Phenomena with Applications in Finance

Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise

Contagion Phenomena with Applications in Finance

Contagion Phenomena with Applications in Finance
  • Author : Serge Darolles,Christian Gourieroux
  • Publisher : Elsevier
  • Release : 17 August 2015
GET THIS BOOKContagion Phenomena with Applications in Finance

Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise

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  • Publisher : Springer
  • Release : 19 March 2015
GET THIS BOOKPropagation Phenomena in Real World Networks

“Propagation, which looks at spreading in complex networks, can be seen from many viewpoints; it is undesirable, or desirable, controllable, the mechanisms generating that propagation can be the topic of interest, but in the end all depends on the setting. This book covers leading research on a wide spectrum of propagation phenomenon and the techniques currently used in its modelling, prediction, analysis and control. Fourteen papers range over topics including epidemic models, models for trust inference, coverage strategies for networks,

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  • Publisher : Routledge
  • Release : 21 August 2013
GET THIS BOOKCopulae and Multivariate Probability Distributions in Finance

Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the

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  • Release : 31 August 2012
GET THIS BOOKSimulation in Computational Finance and Economics: Tools and Emerging Applications

Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including

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  • Publisher : Edward Elgar Publishing
  • Release : 01 January 2013
GET THIS BOOKHandbook of Research Methods and Applications in Empirical Finance

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that

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  • Publisher : Scientific Research Publishing, Inc. USA
  • Release : 06 December 2020
GET THIS BOOKResearch on Volatility and Contagion Effect in Stock Market

The volatility has been one of the cores of the financial theory research, in addition to the stock markets is an important part of modern financial markets. Research on volatility and contagion effect in stock market is an important part of the theory of financial markets research. This book in-cludes the following four parts.

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  • Author : Anonim
  • Publisher : Academic Press
  • Release : 31 December 2012
GET THIS BOOKHandbook of Safeguarding Global Financial Stability

Political and social forces exert pressure on our globalized economy in many forms, from formal and informal policies to financial theories and technical models. Our efforts to shape and direct these forces to preserve financial stability reveal much about the ways we perceive the financial economy. The Handbook of Safeguarding Global Financial Stability examines our political economy, particularly the ways in which these forces inhabit our institutions, strategies, and tactics. As economies expand and contract, these forces also determine the

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  • Author : Mr.Stijn Claessens,Mr.Ayhan Kose
  • Publisher : International Monetary Fund
  • Release : 30 January 2013
GET THIS BOOKFinancial Crises Explanations, Types, and Implications

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types

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  • Publisher : Springer Science & Business Media
  • Release : 02 November 2010
GET THIS BOOKMathematical and Statistical Models and Methods in Reliability

The book is a selection of invited chapters, all of which deal with various aspects of mathematical and statistical models and methods in reliability. Written by renowned experts in the field of reliability, the contributions cover a wide range of applications, reflecting recent developments in areas such as survival analysis, aging, lifetime data analysis, artificial intelligence, medicine, carcinogenesis studies, nuclear power, financial modeling, aircraft engineering, quality control, and transportation. Mathematical and Statistical Models and Methods in Reliability is an excellent

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  • Publisher : Emerald Group Publishing
  • Release : 30 November 2011
GET THIS BOOKMissing Data Methods

Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.

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  • Release : 28 August 2020
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Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from

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  • Release : 06 October 2011
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