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Quantitative methods (economics) --- Copulas (Mathematical statistics) --- Copules (Statistique mathématique) --- Copulas (mathematical statistics) --- Copules (Statistique mathématique) --- Kwantitatieve methoden (economie)

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Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available. Key Features:

Mathematical logic --- #SBIB:303H10 --- #SBIB:303H524 --- kwantitatieve methoden --- maatschappijwetenschappen, methoden --- regressie-analyse --- Methoden en technieken: algemene handboeken en reeksen --- Methoden sociale wetenschappen: chronologische analyse, tijdsreeksen --- Time-series analysis --- Mathematical models. --- Mathematical models --- Time-series analysis - Mathematical models

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In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization. Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon.The final section applies theoretical results to practical portfolio optimization, including structured portfolio management. It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds. Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field.

Portfolio management --- Investment analysis --- Hedge funds --- kwantitatieve methoden --- portfoliobeheer --- risk management --- stochastische processen --- Investment management --- Investments --- Securities --- Analysis of investments --- Analysis of securities --- Security analysis --- Funds, Hedge --- Mutual funds

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Methodology of economics --- Business --- Onderzoeksmethoden. --- Sociaal-wetenschappelijk onderzoek. --- maatschappijwetenschappen, methoden --- kwantitatieve methoden --- academic writing --- 303 --- E080699.jpg --- Sociaalwetenschappelijk onderzoek --- Research --- Methodology. --- Methoden bij sociaalwetenschappelijk onderzoek --- Kwalitatief onderzoek --- Sociaal-wetenschappelijk onderzoek --- 303 Methoden bij sociaalwetenschappelijk onderzoek --- Kwalitatief onderzoek. --- Onderzoeksmethoden --- Trade --- Economics --- Management --- Commerce --- Industrial management --- Research&delete& --- Methodology --- Gestion de l'entreprise --- Recherche appliquée

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This volume in the Econometric Exercises series contains questions and answers to provide students with useful practice, as they attempt to master Bayesian econometrics. In addition to many theoretical exercises, this book contains exercises designed to develop the computational tools used in modern Bayesian econometrics. The latter half of the book contains exercises that show how these theoretical and computational skills are combined in practice, to carry out Bayesian inference in a wide variety of models commonly used by econometricians. Aimed primarily at advanced undergraduate and graduate students studying econometrics, this book may also be useful for students studying finance, marketing, agricultural economics, business economics or, more generally, any field which uses statistics. The book also comes equipped with a supporting website containing all the relevant data sets and MATLAB computer programs for solving the computational exercises.

Quantitative methods (economics) --- Econometrics --- Bayesian statistical decision theory --- Bayesian statistical decision theory. --- Econometrics. --- AA / International- internationaal --- 303.6 --- Raming : theorie (wiskundige statistiek). Bayesian analysis and inference. --- 330.01519542 --- Bayes' solution --- Bayesian analysis --- Statistical decision --- Economics, Mathematical --- Statistics --- 519.2 --- econometrie --- mathematische modellen, toegepast op economie --- kwantitatieve methoden --- waarschijnlijkheidsleer --- tijdreeksanalyse --- Raming : theorie (wiskundige statistiek). Bayesian analysis and inference --- Business, Economy and Management --- Economics