02839nam 2200625Ia 450 991078281310332120191030193359.01-282-34997-X97866123499730-470-77103-8(CKB)1000000000725054(EBL)470407(OCoLC)781257600(SSID)ssj0000348670(PQKBManifestationID)11270600(PQKBTitleCode)TC0000348670(PQKBWorkID)10345615(PQKB)11343138(Au-PeEL)EBL470407(CaPaEBR)ebr10300761(CaONFJC)MIL234997(CaSebORM)9780470998014(MiAaPQ)EBC470407(EXLCZ)99100000000072505420080801d2008 uy 0engur|n|---|||||txtccrMarket risk analysisVolume 2Practical financial econometrics[electronic resource] /Carol Alexander1st editionChichester, England ;Hoboken, NJ Wiley20081 online resource (430 p.)The Wiley Finance Series ;v.2Description based upon print version of record.0-470-99801-6 Includes bibliographical references and index.Market Risk Analysis Volume II; Contents; List of Figures; List of Tables; List of Examples; Foreword; Preface to Volume II; II.1 Factor Models; II.2 Principal Component Analysis; II.3 Classical Models of Volatility and Correlation; II.4 Introduction to GARCH Models; II.5 Time Series Models and Cointegration; II.6 Introduction to Copulas; II.7 Advanced Econometric Models; II.8 Forecasting and Model Evaluation; References; Index; PlatesWritten by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empiricalWiley finance series.Risk managementHedging (Finance)Risk management.Hedging (Finance)332.015195332.6Alexander Carol20566MiAaPQMiAaPQMiAaPQBOOK9910782813103321Market risk analysis1538665UNINA