Forecasting Stock Returns using a Copula-GARCH model

Name: Forecasting Stock Returns using a Copula-GARCH model
Brand: LAP Lambert Academic Publishing
SKU: 9783659233579
Price: 474 CZK
Availability: InStock

Autor: Seung-Hwan Lee, Jonathan Vlk, Eun-Joo Lee

Jazyk:

Vazba: Brožovaná

Vydavatel: LAP Lambert Academic Publishing

Dostupnost: Skladem u dodavatele

Odesíláme za 5-8 dnů

474 Kč

Investigating dependence structures of stocks that are related to one another should be an important...

Informace o knize

Autor

Seung-Hwan Lee, Jonathan Vlk, Eun-Joo Lee

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2017

Stránek

EAN

9783659233579

Enbook ID

18624999

Vydavatel

LAP Lambert Academic Publishing

Hmotnost

107

Rozměry

150 x 220 x 5

Kompletní popis

Investigating dependence structures of stocks that are related to one another should be an important consideration in managing a stock portfolio, among other investment strategies. To capture various dependence features, we employ copula. Financial time series data is typically characterized by volatility clustering of returns that influences an estimate of a stock's future price. To deal with the volatility and dependence of stock returns, this book provides procedures of combining a copula with a GARCH model. Using the copula-GARCH approach that describes the tail dependences of stock returns, we carry out Monte Carlo simulations to predict a company's movements in the stock market. The procedures are illustrated in two technology stocks, Apple and Samsung.

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Forecasting Stock Returns using a Copula-GARCH model

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Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také