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Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets /
This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphas...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cham, Switzerland :
Springer,
[2018]
|
| Colección: | International series in operations research & management science ;
v. 257. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Preface; Contents; Part I Risk Modeling; 1 Directional Returns for Gold and Silver: A Cluster Analysis Approach; 1.1 Introduction and Literature Review; 1.2 Data Collection and Preparation; 1.3 Methodology: Two-Step Cluster Analysis; 1.4 Gold with Clusters; 1.4.1 Training Set Variable Importance; 1.4.2 Validation Set Results for the Gold Models; 1.5 Silver with Clusters; 1.5.1 Training Set Variable Importance; 1.5.2 Validation Set Results for the Silver Models; 1.6 Summary and Conclusions; References; 2 Impact of Credit Risk and Business Cycles on Momentum Returns; 2.1 Introduction.
- 2.2 Literature Review2.2.1 The Persistence of Momentum Returns in Different Dimensions; 2.2.2 Momentum Returns and Credit Ratings; 2.2.3 Momentum Returns and Risk Factors; 2.3 Data; 2.3.1 Methods; 2.4 Empirical Findings; 2.4.1 Can the Fama-French Three Factors Explain Momentum Returns in Credit-Rated Stocks?; 2.4.2 Can Market States Explain the Momentum Returns in Credit-Rated Stocks?; 2.4.3 Can Macroeconomic Factors Explain the Momentum Returns in Credit-Rated Stocks?; 2.5 Conclusions; Appendix: S & P Credit Rating; References.
- 3 Drivers of LBO Operating Performance: An Empirical Investigation in Asia3.1 Introduction; 3.2 Literature Review; 3.2.1 Tax Benefit; 3.2.2 Free Cash-Flow; 3.2.3 Ownership Structure; 3.2.4 Macroeconomic Factors; 3.3 Institutional Background of Emerging Economies: The Case of Asia; 3.3.1 Academic Background; 3.3.2 Institutional Background; 3.4 Data Sources and Descriptive Statistics; 3.4.1 Sample Description; 3.4.2 Benchmark Comparison; 3.4.3 Descriptive Statistics; 3.4.4 Analysis and Discussion; 3.5 Results; 3.5.1 OLS Model; 3.5.2 Introduction of LBO Dummy Variable.
- 3.5.3 Introduction of Geographical Area Dummy Variables3.5.4 Geographical Areas and Governance (Table 3.8); 3.5.5 Efficiency and Profitability Impacts (Table 3.9); 3.6 Conclusion; References; 4 Time Varying Correlation: A Key Indicator in Finance; 4.1 Introduction; 4.2 Recent Literature; 4.3 The Correlation Measure; 4.3.1 Data Simulation; 4.3.2 Comparing the Correlation Estimators; 4.4 Measuring Correlation; 4.4.1 Stationarity of the Series; 4.4.2 Structural Breaks; 4.4.3 Correlations Between Commodities and Financial Markets; 4.4.4 Correlations Between Energy Commodities.
- 4.5 Concluding RemarksReferences; 5 Measuring Model Risk in the European Energy Exchange; 5.1 Introduction and Background; 5.2 The Relative Measure of Model Risk; 5.3 Data and Preliminary Analysis; 5.4 Model Setting and Estimation; 5.4.1 The GARCH Methodology; 5.4.2 Dynamic Model Risk Quantification; 5.5 Empirical Results; 5.6 Conclusions and Future Research; References; Part II Pricing and Valuation; 6 Wine Futures: Pricing and Allocation as Levers Against Quality Uncertainty; 6.1 Introduction; 6.1.1 Winemaking Process and the Tasting Reviews; 6.2 Literature Review.