Market Models: A Guide to Financial Data Analysis

By P. Giot. 2003

384 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/61fe5385d79f02148fe69cf52e25677755f32df2

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In Management Science and Operations Research

Citations in the corpus

International portfolio diversification to Central European stock markets (2004, background): “It is intrinsically a short-run measure, and correlation-based portfolio management strategies commonly require rebalancing (Alexander, 2001).”
Delta-hedging vega risk? (2004, background): “This is quite a general phenomenon, especially in jumpy markets [1].”
A Multivariate Generalized Orthogonal Factor GARCH Model (2007, methodology): “, Alexander 2001), but they are hampered by the fact that the conditional covariance matrix has a reduced rank. In this article we introduce a new kind of generalized orthogonal GARCH model that allows for a reduced number of conditionally heteroscedastic factors and, hence, idiosyncratic shocks. Th”
Efficient factor GARCH models and factor-DCC models (2009, methodology): “Recently, the orthogonal GARCH (O-GARCH) model was proposed by exploiting the principal component analysis (PCA) technique to determine the factors (Ding 1994, Alexander 2000, 2001).”
A new copula approach for high-dimensional real world portfolios (2012, background): “The copula function C is by itself a multivariate distribution with uniform marginal distributions on the interval U1 = [0, 1], C : U n 1 → U1.”
Kernel Methods in Finance (2008, methodology): “…suitable parameters w ∈ Rm and b ∈ R such that f(xi) = yi, i = 1, ..., n for a given set of iid data points (x1, y1) , ..., (xn, yn) ∈ Rm ×R. (14) In Finance, (mostly linear) regression represents a standard tool to perform time series analysis, especially for forecasting tasks (Alexander, 2001).”
Stochastic volatility forecasting and risk management (2005, methodology): “In a different approach to modelling stochastic volatility, Alizadeh et al. (2002) propose using the price range in the estimation of stochastic volatility models where the price range is defined as the difference between the highest and lowest log security prices over a fixed sampling interval.”
A Practical Guide to Forecasting Financial Market Volatility (2005, background): “Specialist books that cover financial time series modelling in a more general context include Alexander (2001), Tsay (2002) and Taylor (2005). There are also a number of edited series that contain articles on volatility modelling and forecasting, e.g. Rossi (1996), Knight and Satchell (2002) and Jar”
Robust Performance Hypothesis Testing with the Sharpe Ratio (2008, positive): “(1997, Chapter 12) and Alexander (2001, Chapter 4). In this paper, we discuss inference methods that are more generally valid. One possibility is to compute a HAC standard error(3) for the difference of the estimated Sharpe ratios by themethods of Andrews (1991) and Andrews andMonahan (1992), say.”
Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries (2014, methodology): “Most univariate GARCH models should encounter few convergence problems if model is well-specified and fits data reasonably well (Alexander, 2001).”
Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, methodology): “It has been used in a number of applications in asset allocation and option pricing and hedging (see e.g., Alexander, 2001, for a description of the method and financial applications).”
VOLATILITY AND CORRELATION FORECASTING (2006, methodology): “, Hamilton (1994), Mills (1993), Franses and van Dijk (2000), Gourieroux and Jasiak (2001), Alexander (2002), Brooks (2002), Chan (2002), Tsay (2002), Christoffersen (2003), Enders (2004), and Taylor (2004). A series of the most influential early ARCH papers have been collected in Engle (1995). A fa”
Estimation and Model Selection of Copulas with an Application to Exchange Rates (2007, methodology): “In that case a simple AR(1) model provided a good fit for the data.”
Statistical arbitrage pairs trading strategies: Review and outlook (2017, positive): “Alexander (1999), Alexander (2001) and Alexander and Dimitriu (2005) develop very similar strategies to Dunis and Ho.”