03476nam 2200769Ia 450 991082037940332120200520144314.01-134-46931-40-429-24222-01-134-46932-21-280-34798-897866103479880-203-98763-210.4324/9780203987636 (CKB)1000000000249963(EBL)243183(OCoLC)475963229(SSID)ssj0000155029(PQKBManifestationID)11148473(PQKBTitleCode)TC0000155029(PQKBWorkID)10084945(PQKB)10105615(SSID)ssj0001144846(PQKBManifestationID)12493586(PQKBTitleCode)TC0001144846(PQKBWorkID)11113936(PQKB)11189330(Au-PeEL)EBL243183(CaPaEBR)ebr10096932(CaONFJC)MIL34798(OCoLC)437158891(OCoLC)1000426927(CaSebORM)9780415278669(MiAaPQ)EBC243183(EXLCZ)99100000000024996320030103d2003 uy 0engur|n|---|||||txtccrFinancial market risk measurement and analysis /Cornelis A. Los1st ed.London ;New York Routledge20031 online resource (493 p.)Routledge international studies in money and banking ;24Description based upon print version of record.0-415-77113-7 0-415-27866-X Includes bibliographical references and index.Book Cover; Title; Copyright; Contents; Preface; Introduction; 1 Risk asset class horizon and time; 2 Competing financial market hypotheses; 3 Stable scaling distributions in finance; 4 Persistence of financial risk; 5 Frequency analysis of financial risk; 6 Fourier time frequency analysis of risk; 7 Wavelet time scale analysis of risk; 8 Multiresolution analysis of local risk; 9 Chaos nonunique equilibria processes; 10 Measuring term structure dynamics; 11 Simulation of financial turbulence; 12 Managing VaR and extreme values; Appendix A original scaling in financial economicsAppendix B S P500 daily closing prices for 1988IndexThis new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markRoutledge international studies in money and banking ;24.Hedging (Finance)Risk managementHedging (Finance)Risk management.332/.01/5195Los Cornelis Albertus1951-614170MiAaPQMiAaPQMiAaPQBOOK9910820379403321Financial market risk1131208UNINA