Econometr a Financiera - WordPress.comMotivaci onI De nition: Financial Econometrics is concerned...
Transcript of Econometr a Financiera - WordPress.comMotivaci onI De nition: Financial Econometrics is concerned...
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Econometrıa Financiera
Karoll [email protected]
http://karollgomez.wordpress.com
Segundo semestre 2018
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I. Introduccion
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Motivacion I
Definition:
Financial Econometrics is concerned with the statistical analysis offinancial data.
I the method of inference for the financial economist ismodel-based statistical inference- financial econometrics.
I while econometrics is also essential in other branches ofeconomics, what distinguishes financial economics is the centralrole that uncertainty plays in both financial theory and itsempirical implementation.
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Motivacion II
Financial econometrics is concerned mainly about:
I asset pricing
I portfolio allocation
I risk management and diversification
studying issues like:
I market microstructure and liquidity,
I asset return volatility and correlation,
I and interest rate modeling
and also for understanding pivotal issues in:
I Stock market
I Corporate finance
I Behavioral finance
I as well as regulatory purposes and more.
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Motivacion III
Why is Financial econometrics important?
I Financial economics concentrates on decision making whentwo considerations are particularly important: first, some of theoutcomes are risky; second, both the decisions and the outcomesmay occur at different times.
I The past few decades have been characterized by anextraordinary growth in the use of quantitative methods in theanalysis of various asset classes; be itI equities,I fixed income instruments,I commodities,I derivative securities.
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Motivacion IV
So that, financial econometrics is related to the application ofstatistical and mathematical techniques to problems in finance.
Examples:
I Testing whether financial markets are efficient.
I Testing whether the CAPM or APT represent superior modelsfor the determination of returns on risky assets.
I Measuring and forecasting the volatility of bond returns.
I Modelling long-term relationships between prices and exchangerates
I Determining the optimal hedge ratio for a spot position in oil.
I Forecasting the correlation between the returns to the stockindices of two countries.
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Risk, prices and returns I
Much of finance is concerned with measuring and managingfinancial risk.
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Risk, prices and returns II
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Risk, prices and returns III
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Risk, prices and returns IV
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Risk, prices and returns V
Remarks:
� The return on an investment is its revenue as a fraction of theinitial investment.
� It represents the net return for the holding period from t− 1 to t.
� Risk means uncertainty in future returns from an investment, inparticular, that the investment could earn less than the expectedreturn and even result in a loss, that is, a negative return.
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Risk, prices and returns VI
Technical Remarks:
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Risk, prices and returns VII
Cross-sectionally
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Risk, prices and returns VIII
Over time
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Stylized facts on asset returns I
Note:
I The leverage effect stems from the fact that losses have a greater influence onfuture volatilities than do gains.
I Asymmetry means that the distribution of losses has a heavier tail than thedistribution of gains
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Stylized facts on asset returns II
Example: Standard and Poors 500 Index
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Stylized facts on asset returns III
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Stylized facts on asset returns IV
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Stylized facts on asset returns V
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Basic model for asset returns I
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Basic model for asset returns II
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Basic model for asset returns III
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Basic model for asset returns IV
� When they are different, conditional distribution is relevant forissues involving predictability and asset pricing.
� Asset pricing tries to understand the prices of claims withuncertain payments.