Synopsis
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.
"synopsis" may belong to another edition of this title.
About the Author
Seung-Hwan Lee - Associate Professor. Department of Mathematics. Illinois Wesleyan University, Bloomington.
"About this title" may belong to another edition of this title.
Search results for Forecasting Stock Returns using a Copula-GARCH model
Seller Image
Forecasting Stock Returns using a Copula-GARCH model
Published by
LAP Lambert Academic Publishing Nov 2017, 2017
ISBN 10: 3659233579
ISBN 13: 9783659233579
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 60 pp. Englisch. Seller Inventory # 9783659233579
Stock Image
Forecasting Stock Returns using a Copula-GARCH model
Published by
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659233579
ISBN 13: 9783659233579
New
Paperback
Seller: Revaluation Books, Exeter, United Kingdom
Seller rating 5 out of 5 stars
Paperback. Condition: Brand New. 60 pages. 8.66x5.91x0.14 inches. In Stock. Seller Inventory # 3659233579
Buy New
£ 39.66
£ 10 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
Seller Image
Forecasting Stock Returns using a Copula-GARCH model
Published by
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659233579
ISBN 13: 9783659233579
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Lee Seung-HwanSeung-Hwan Lee - Associate Professor. Department of Mathematics. Illinois Wesleyan University, Bloomington.Investigating dependence structures of stocks that are related to one another should be an important conside. Seller Inventory # 385766304
Buy New
£ 19.83
£ 42.26 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available
Seller Image
Forecasting Stock Returns using a Copula-GARCH model
Published by
LAP LAMBERT Academic Publishing Nov 2017, 2017
ISBN 10: 3659233579
ISBN 13: 9783659233579
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 60 pp. Englisch. Seller Inventory # 9783659233579
Seller Image
Forecasting Stock Returns using a Copula-GARCH model
Published by
LAP Lambert Academic Publishing, 2017
ISBN 10: 3659233579
ISBN 13: 9783659233579
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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. Seller Inventory # 9783659233579
Seller Image
Forecasting Stock Returns using a Copula-GARCH model
Published by
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659233579
ISBN 13: 9783659233579
New
Taschenbuch
Seller: preigu, Osnabrück, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Forecasting Stock Returns using a Copula-GARCH model | Seung-Hwan Lee (u. a.) | Taschenbuch | 60 S. | Englisch | 2017 | LAP LAMBERT Academic Publishing | EAN 9783659233579 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 110339595