Forecasting Stock Returns using a Copula-GARCH model - Couverture souple

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

 
9783659233579: Forecasting Stock Returns using a Copula-GARCH model
Couverture souple
ISBN 10 : 3659233579 ISBN 13 : 9783659233579
Editeur : LAP LAMBERT Academic Publishing, 2017

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.

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Présentation de l'éditeur

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.

Biographie de l'auteur

Seung-Hwan Lee - Associate Professor. Department of Mathematics. Illinois Wesleyan University, Bloomington.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2017
Langue
anglais
ISBN 10 
3659233579
ISBN 13 
9783659233579
Reliure
Broché
Nombre de pages
60
Coordonnées du fabricant
non disponible
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