1# Library to Find Best eBook for Read
Author : Lars Winkelmann
Release : 2014
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis ECB Monetary Policy Surprises Identification Through Cojumps in Interest Rates by : Lars Winkelmann
Download or read book ECB Monetary Policy Surprises Identification Through Cojumps in Interest Rates written by Lars Winkelmann. This book was released on 2014. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin T. Bohl
Release : 2008
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis European Stock Markets and the ECB's Monetary Policy Surprises by : Martin T. Bohl
Download or read book European Stock Markets and the ECB's Monetary Policy Surprises written by Martin T. Bohl. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: This paper contributes to the literature measuring the response of stock markets to monetary policy actions. We analyze the reaction of European stock market returns to unexpected interest rate decisions by the ECB. Endogeneity between interest rate changes and stock returns is taken into account using the identification through heteroskedasticity approach. Relying on different methods to extract monetary policy shocks, we find a negative and significant relation between unexpected ECB decisions and European stock markets performance. Moreover, monetary policy decisions of the ECB are well anticipated by the market implying that the central bank successfully communicates its monetary policy.
Author : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Release : 2013
Genre : Banks and banking, Central
Kind : eBook
Book Rating : 626/5 ( reviews)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yacine Aït-Sahalia
Release : 2014-07-21
Genre : Business & Economics
Kind : eBook
Book Rating : 437/5 ( reviews)
Book Synopsis High-Frequency Financial Econometrics by : Yacine Aït-Sahalia
Download or read book High-Frequency Financial Econometrics written by Yacine Aït-Sahalia. This book was released on 2014-07-21. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Author : Jean Jacod
Release : 2011-10-22
Genre : Mathematics
Kind : eBook
Book Rating : 271/5 ( reviews)
Book Synopsis Discretization of Processes by : Jean Jacod
Download or read book Discretization of Processes written by Jean Jacod. This book was released on 2011-10-22. Available in PDF, EPUB and Kindle. Book excerpt: In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through the use of data. As statisticians are wont to say, “In God we trust; all others must bring data.” This book establishes the theory of how to go about estimating not just scalar parameters about a proposed model, but also the underlying structure of the model itself. Classic statistical tools are used: the law of large numbers, and the central limit theorem. Researchers have recently developed creative and original methods to use these tools in sophisticated (but highly technical) ways to reveal new details about the underlying structure. For the first time in book form, the authors present these latest techniques, based on research from the last 10 years. They include new findings. This book will be of special interest to researchers, combining the theory of mathematical finance with its investigation using market data, and it will also prove to be useful in a broad range of applications, such as to mathematical biology, chemical engineering, and physics.
