Book Description
While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
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While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don't appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.
Customer Reviews:
READ THE BACK PAGE & PREFACE!.......2006-10-17
To all 1* reviewers, moaning about this being a "superficial" book - READ THE BACK PAGE, quote "...they offer you a LESS TECHNICAL look at how portfolio selection, risk management & option pricing modeling should and can be undertaken..."
Now, READ THE PREFACE: page xii "We must admit our intent at the outset was to provide a NON-TECHNICAL treatment of the topic."
If you can't understand who this book is intended for, are you qualified to write a review? To dismiss this as a book for "name droppers" reflects an arrogant misunderstanding. Everyone has to start somewhere on the learning curve.
In terms of its stated aim, this book does an excellent job. There are hundreds of thousands of investment "professionals" who have never heard of stable Paretian distributions or copulas, who would benefit from education. And, yes it is printed on cheap paper. But that makes it very light & easy to carry round! Is it overpriced? Of course - nothing new there. But savvy buyers don't pay full price anyway.
Little Help For the Ordinary Investing Stiff.......2006-09-21
As a reader of Rachev and co's earlier work 'Stable Paretian Models in Finance' this work is admittedly about halfway down from the mathematical stratosphere where the former floated. If anyone knows of a work which can clearly and convincingly explain the implications of this work for the mug punter please let me know at jenpalex@actapple.org.au.
Paul Mason
Too superficial to be of any value........2006-08-16
I purchased this book because I was told that it "treated" important topics in the statistical analysis of fat-tailed distributions of price movements--namely, copulas, modeling of VaR under non-normal stable distributions, etc. Unfortunately, these topics are given little substantive coverage. The book is basically a long survey article with little practical instruction for HOW to deal with fat-tailed distributions. The one strong point of the book is the extensive list of references. Mainly though, the book suffers from the general sense of "math anxiety" that is so prevalent throught the population. Bottom line, if you don't know enough math to deal with the technicalities that the authors so studiously avoid, you can't do anything useful with the modeling of fat-tailed distributions. Consequently, I cannot think of any audience for whom this book would be useful, other than someone wishing to do a literature search of the substantive work in this area.
look inside.......2006-06-06
One can read the ToC and the first chapter (introduction) with Amazon's "look inside" feature/service. I think this lets one make good estimate of the book's level and depth of coverage, and to decide if the book meets one's needs.
statistical data miner.......2006-03-22
I unfortunately learned too late that the negative review of Jukka Taskinen was understatement.
The "book" is a series of shallow, disjointed chapters that just touch on the important topics. It superficially skims a wide range of issues so that the reader can be a term-dropping jack-of-all-trades but master of none.
I was partially lulled by its availability as a .pdf, which is convenient, and its title and purported thesis of heavy-tailed modeling, which really is a very important thesis but is just a red herring here: the book provides very superficial treatment of this concept throughout, without really building a solid methodological case for it (even though its true, which is why its clever and deceptive marketing, rather than a scholarly OR useful practitioner work). It provides no new insight generally, and the only new insight to me was that I am beginning to see what passes as a typical of Fabozzi publication. I'm angry I wasted the $$.
Average customer rating:
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Investment Opportunities, Household Savings, and Rates of Return on Investment
M. Abdullah Shibli
Manufacturer: University Press of America
ProductGroup: Book
Binding: Hardcover
 Economics
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ASIN: 0819183636 |
Book Description
The impact of technological development on household savings is of central importance to development students and practitioners attempting to devise effective policy for economic growth in general and agricultural capital formation in particular. For the predominantly agricultural economy of Bangladesh, this is an important issue due to the very low rate of growth in the agriculture sector there during the last three decades. This study investigates the relationship between investment opportunities and saving from a theoretical perspective, measures the impact of High Yielding Variety technology on saving in the case of Bangladesh, and compares the rate of return from some common types of investments of rural households in Bangladesh.
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Return Distributions in Finance (Quantitative Finance)
Stephen Satchell , and
John Knight
Manufacturer: Butterworth-Heinemann
ProductGroup: Book
Binding: Hardcover
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ASIN: 0750647515 |
Book Description
Quantitative methods have revolutionised the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking.
One of the original contributions in this area is the classic by Cootner entitled 'The Random Nature of Stock Market Prices'. This work investigated the statistical properties of asset prices and was one of the first works to investigate this area in a rigorous manner.
Much has happened in this field in the last 35 years and 'Return Distributions in Finance' contains much new information that reflects this huge growth.
The authors combined experience reflects not only the new theory but also the new practice in this fascinating area. The rise of financial engineering now allows us to change the nature of asset returns to whatever pattern we desire, albeit at a cost. Benefits and costs can only be understood if we understand the underlying processes. 'Return Distributions in Finance' allows us to gain that understanding.
Assists in understanding asset return distributions
Provides a full overview of financial risk management techniques in asset allocation
Demonstrates how to use asset return forecast applications
Book Description
This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
One of the issues of risk management is the choice of the distribution of asset returns. Academics and practitioners have assumed for a long time (for more than three decades) that the distribution of asset returns is a Gaussian distribution. Such an assumption has been used in many fields of finance: building optimal portfolio, pricing and hedging derivatives and managing risks. However, real financial data tend to exhibit extreme price changes such as stock market crashes that seem incompatible with the assumption of normality. This article shows how extreme value theory can be useful to know more precisely the characteristics of the distribution of asset returns and finally help to chose a better model by focusing on the tails of the distribution. An empirical analysis using equity data of the US market is provided to illustrate this point.
Book Description
This digital document is a journal article from Journal of Empirical Finance, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This paper provides a time-series test for the Differences-of-Opinion theory proposed by Hong and Stein (2003) [Hong, H., Stein, J.C., 2003. Differences of opinion, short-sales constraints and market crashes. Review of Financial Studies 16, 487-525.] in the aggregate market, thus extending the cross-sectional test of Chen et al. (2001) [Chen, J., Hong, H., Stein, J.C.. 2001. Forecasting crashes: trading volume, past returns and conditional skewness in stock prices. Journal of Financial Economics 61, 345-381.] for this theory across individual stocks. An autoregressive conditional density model with a skewed-t distribution is used to estimate the effects of past trading volume on return asymmetry. Using NYSE and AMEX data from 1962 to 2000, we find that the prediction of the Hong-Stein model that negative skewness will be most pronounced under high trading volume conditions is not supported in our time-series analysis with market data.
Book Description
This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data from the Australian Stock Exchange. Our analysis reveals a positive and significant impact of the arrival rate of the selected news variable on the conditional variance of stock returns, even after controlling for the potential effects of trading volume and high opening volatility. Furthermore, the inclusion of the news variable in the conditional variance equation of the generalized autoregressive conditional heteroscedastic model also reduces volatility persistence, especially with intraday data. Combined with the evidence that news arrivals display a very strong pattern of autocorrelation, our results are consistent with the Mixture of Distribution Hypothesis, which attributes conditional heteroscedasticity of stock returns to time-dependence in the news arrival process.
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Reporting certain nondividend distributions on Form 5452.: An article from: The Tax Adviser
Albert B. Ellentuck
Manufacturer: American Institute of CPA's
ProductGroup: Book
Binding: Digital
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ASIN: B0009GSJ0I
Release Date: 2005-08-01 |
Book Description
This digital document is an article from The Tax Adviser, published by American Institute of CPA's on December 1, 2004. The length of the article is 572 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
Citation Details
Title: Reporting certain nondividend distributions on Form 5452.
Author: Albert B. Ellentuck
Publication:
The Tax Adviser (Magazine/Journal)
Date: December 1, 2004
Publisher: American Institute of CPA's
Volume: 35
Issue: 12
Page: 776(2)
Distributed by Thomson Gale
Average customer rating:
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Return-of-capital distributions in mutual thrift stock conversions.: An article from: The Tax Adviser
David A. Thornton
Manufacturer: American Institute of CPA's
ProductGroup: Book
Binding: Digital
Nonfiction
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| Automotive
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| Crime & Criminals
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| Government
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ASIN: B00098BF3Y
Release Date: 2005-07-28 |
Book Description
This digital document is an article from The Tax Adviser, published by American Institute of CPA's on September 1, 1998. The length of the article is 1731 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
From the supplier: Several favorable IRS letter rulings underlie the use of a particular return of capital transaction used in stock ownership conversions of mutual thrifts where IRS regulation section 1.1502-33 earnings and profits rules are avoided. This method allows proceeds of some of the initial stock offerings to be distributed without current taxation to stockholders. IRC section 368(a)(1)(F) reorganizations provide the external structure for nonrecognition of gain.
Citation Details
Title: Return-of-capital distributions in mutual thrift stock conversions.
Author: David A. Thornton
Publication:
The Tax Adviser (Magazine/Journal)
Date: September 1, 1998
Publisher: American Institute of CPA's
Volume: 29
Issue: n9
Page: 601(2)
Distributed by Thomson Gale
Book Description
This book opens new vistas for people who feel trapped in a career they see as unfulfilling or limited.
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Punishing International Terrorists
John F. Murphy
Manufacturer: Rowman & Littlefield Publishers, Inc.
ProductGroup: Book
Binding: Hardcover
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ASIN: 0847674495 |
Book Description
This book pinpoints the opportunities and the gaps in the legal system as it applies to political violence.
Book Description
Project Mercury will offer a developmental resume of the first American manned spaceflight programme and its associated infrastructure, including accounts of space launch vehicles. The book highlights the differences in Redstone/Atlas technology, drawing similar comparisons between ballistic capsules and alternative types of spacecraft. The book also covers astronaut selection and training, as well as tracking systems, flight control, basic principles of spaceflight and detailed accounts of individual flights.
Customer Reviews:
Great Book!.......2006-03-10
Like all of Springer Paxis Books I knew I had to have this one and I was not dissapointed in this one. The book covers all aspects of the program from launch vehicles to launch facilities as well as the astronauts themselves!! It goes into the design studies and concepts, as well as the selection process for the astronauts.
Book Description
Mainly concerned with the arrangements of atoms in a crystalline array and the nature of their chemical bonding in minerals, this book emphasizes the relationships of atomic and electronic structure, chemical bonding, symmetry of regular and distorted atomic arrays and optical properties of crystalline minerals. 1988 edition.
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High Altitude Tropical Biogeography
Manufacturer: Oxford University Press, USA
ProductGroup: Book
Binding: Hardcover
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Physiological Aspects
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ASIN: 0195036255 |
Book Description
High Altitude Tropical Biogeography provides research workers and academics with a comprehensive overview of the biogeography of high tropical mountains, covering the origin, ecology, and evolution of plants and animals of this unique ecological zone. The climate in the high altitude mountain regions of the tropics is cold, resulting in flora and fauna which more closely resemble their counterparts thousand of miles to the north or south than comparable species in the lowland jungles only a few thousand meters below. These ecological "islands", besides being very important to the economies of the tropics, pose interesting questions of physiological adaptation, biogeography, and evolutionary relationships. With contributions from twenty-four international specialists who have devoted years to the study of cold mountain tropics, this book describes some of the most characteristic plant and animal components of the ecosystem. No other book of this scope and content exists on these tropical biotas.
Average customer rating:
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Snakes, butterbeans & the discovery of electricity: Stories
James Ashbrook Perkins
Manufacturer: Dawn Valley Press
ProductGroup: Book
Binding: Unknown Binding
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ASIN: 0936014199 |
Books:
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- Future Direction of UK Management Accounting Practice, First Edition (CIMA Research)
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- Implementing Kaizen. (Checklist 142).(Japanese quality management concept): An article from: Checklists
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![The choice of the distribution of asset returns: How extreme value theory can help? [An article from: Journal of Banking and Finance]](http://ec1.images-amazon.com/images/I/21RQES4S46L.jpg)
![Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness [An article from: Journal of Empirical Finance]](http://ec1.images-amazon.com/images/I/21HJ92K900L.jpg)
