Details

Long Term Statistical Analysis of US Asset Classes 2010


Long Term Statistical Analysis of US Asset Classes 2010



from: Diethelm Würtz, Haiko Bailer, Chalabi Yohan, Tobias Setz, Fiona Grimson

Fr. 0.00

Publisher: Finance Online
Format PDF
ISBN/EAN: 9783906041131
Language: englisch

This book is without copy protection.

Descriptions

In this book we investigate the long term dynamic evolution of bills, bonds, equities, commodity prices and inflation covering the U.S. market. We introduce new stress and stability metrics to overcome traditional risk measures such as volatility, value at risk, and drawdown statistics. With these new measures we identify and quantify break points by bayesian methods, detect extremes and outlying values by robust principal component approaches and explore non-stationary and multi-resolution aspects by wavelet analysis. The data set consists of a long-run study starting at the end of 1925 and covering the main asset classes from the point of view of an U.S. Investor.

The present work is the broadest long-run analysis of bills, bonds, stocks, inflation, and commodities on a monthly database.

Table of Contents:

Preface

Major US Asset Classes
1 Markets and Data
Asset Statistics
2 Introduction
3 Wealth Indices
4 Total Returns
5 Risk Premium
6 Holding Periods
7 Drawdowns and Recovery
8 Market Timing
Multivariate Analysis
9 Introduction
10 Correlation Structures
11 Ordering of Assets
12 Grouping of Assets
Advanced Analysis
13 Introduction
14 Turning Points and Cycles
15 Garch Volatility Models
16 Structural Breaks
17 Extremes and Outliers
18 Non Stationarity Analysis
Portfolio Benchmarking
19 Introduction
20 Bond and Stock Blends
21 Ternary Portfolio Design
22 Multi Asset Portfolios
23 Risk Surfaches

Appendix

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