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Finance and stochastics
| Finance and stochastics |
| Pubbl/distr/stampa | Berlin, : Springer |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis Finances - Modèles mathématiques Analyse stochastique Banking, Finance & Investing Stochastic Processes Kreditmarkt Stochastisches Modell Finanzstatistik Zeitschrift Online-Ressource Financiën Stochastische methoden |
| Soggetto genere / forma |
Periodicals.
Zeitschrift Online-Publikation |
| Soggetto non controllato | Banking |
| ISSN | 1432-1122 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996211818603316 |
| Berlin, : Springer | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Finance and stochastics
| Finance and stochastics |
| Pubbl/distr/stampa | Berlin, : Springer |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Stochastic analysis Finances - Modèles mathématiques Analyse stochastique Banking, Finance & Investing Stochastic Processes Kreditmarkt Stochastisches Modell Finanzstatistik Zeitschrift Online-Ressource Financiën Stochastische methoden |
| Soggetto genere / forma |
Periodicals.
Zeitschrift Online-Publikation |
| Soggetto non controllato | Banking |
| ISSN | 1432-1122 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910138886603321 |
| Berlin, : Springer | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finance, economics, and mathematics / / Oldrich Alfons Vasicek
| Finance, economics, and mathematics / / Oldrich Alfons Vasicek |
| Autore | Vasicek Oldrich Alfons |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (327 p.) |
| Disciplina | 332 |
| Soggetto topico |
Finance
Finance - Mathematical models Economics, Mathematical |
| ISBN |
1-119-18621-8
1-119-18620-X 1-119-18622-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Table of Contents; Foreword; Preface; Part One: Efforts and Opinions; Chapter 1: Introduction to Part I; Chapter 2: Lifetime Achievement Award; Inspiration; Pioneering; Chapter 3: One-on-One Interview with Oldrich Alfons Vasicek; Chapter 4: Credit Superquant; Good Company; Credit Is Due; Part Two: Term Structure of Interest Rates; Chapter 5: Introduction to Part II; Chapter 6: An Equilibrium Characterization of the Term Structure; Abstract; Introduction; Notation and Assumptions; The Term Structure Equation; Stochastic Representation of the Bond Price; A Specific Case
References Chapter 7: The Liquidity Premium; References; Chapter 8: Term Structure Modeling Using Exponential Splines; Introduction; Concepts and Terms; The Model; References; Chapter 9: The Heath, Jarrow, Morton Model; References; Part Three: General Equilibrium; Chapter 10: Introduction to Part III; Chapter 11: The Economics of Interest Rates; Abstract; Introduction; Optimal Investment Strategies; The Equilibrium Economy; Examples; Term Structure Models; Conclusions; References; Chapter 12: General Equilibrium with Heterogeneous Participants and Discrete Consumption Times; Abstract Introduction The Equilibrium Economy; Discrete Consumption Times; Proof of Convergence; Concluding Remarks; References; Chapter 13: Independence of Production and Technology Risks; References; Chapter 14: Risk-Neutral Economy and Zero Price of Risk; Abstract; Introduction; An Economy in Equilibrium; The Risk-Neutral Economy; An Economy with Zero Price of Risk; References; Part Four: Credit; Chapter 15: Introduction to Part IV; Chapter 16: Credit Valuation; The Approach; The Firm's Value; Loan Default; Debt Structure; Capital Flows; Loan Pricing; Portfolio Diversification; Summary Chapter 17: Probability of Loss on Loan Portfolio Chapter 18: Limiting Loan Loss Probability Distribution; Chapter 19: Loan Portfolio Value; The Limiting Distribution of Portfolio Losses; Properties of the Loss Distribution; The Risk-Neutral Distribution; The Portfolio Market Value; Adjustment for Granularity; Summary; References; Chapter 20: The Empirical Test of the Distribution of Loan Portfolio Losses; Part Five: Markets, Portfolios, and Securities; Chapter 21: Introduction to Part V; Chapter 22: The Efficient Market Model; Introduction and Summary; Risk, Risk Aversion, and Compensation Measurement of Risk and Return Efficient Market Hypothesis; The Role of the Portfolio in Risk Reduction; The Capital Asset Pricing Model; Generalization of the Model; Conclusion; References; Chapter 23: A Risk Minimizing Strategy for Portfolio Immunization; Abstract; Introduction; Immunization Risk; Appendix: Proof of the Theorem; References; Chapter 24: The Trade off between Return and Risk in Immunized Portfolios; Abstract; Introduction; Portfolio Value and Interest Rate Changes; Immunization Risk; Confidence Intervals; Risk and Return; References Chapter 25: Bond Performance: Analyzing Sources of Return |
| Record Nr. | UNINA-9910137220403321 |
Vasicek Oldrich Alfons
|
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| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finance, economics, and mathematics / / Oldrich Alfons Vasicek
| Finance, economics, and mathematics / / Oldrich Alfons Vasicek |
| Autore | Vasicek Oldrich Alfons |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (327 p.) |
| Disciplina | 332 |
| Soggetto topico |
Finance
Finance - Mathematical models Economics, Mathematical |
| ISBN |
1-119-18621-8
1-119-18620-X 1-119-18622-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Table of Contents; Foreword; Preface; Part One: Efforts and Opinions; Chapter 1: Introduction to Part I; Chapter 2: Lifetime Achievement Award; Inspiration; Pioneering; Chapter 3: One-on-One Interview with Oldrich Alfons Vasicek; Chapter 4: Credit Superquant; Good Company; Credit Is Due; Part Two: Term Structure of Interest Rates; Chapter 5: Introduction to Part II; Chapter 6: An Equilibrium Characterization of the Term Structure; Abstract; Introduction; Notation and Assumptions; The Term Structure Equation; Stochastic Representation of the Bond Price; A Specific Case
References Chapter 7: The Liquidity Premium; References; Chapter 8: Term Structure Modeling Using Exponential Splines; Introduction; Concepts and Terms; The Model; References; Chapter 9: The Heath, Jarrow, Morton Model; References; Part Three: General Equilibrium; Chapter 10: Introduction to Part III; Chapter 11: The Economics of Interest Rates; Abstract; Introduction; Optimal Investment Strategies; The Equilibrium Economy; Examples; Term Structure Models; Conclusions; References; Chapter 12: General Equilibrium with Heterogeneous Participants and Discrete Consumption Times; Abstract Introduction The Equilibrium Economy; Discrete Consumption Times; Proof of Convergence; Concluding Remarks; References; Chapter 13: Independence of Production and Technology Risks; References; Chapter 14: Risk-Neutral Economy and Zero Price of Risk; Abstract; Introduction; An Economy in Equilibrium; The Risk-Neutral Economy; An Economy with Zero Price of Risk; References; Part Four: Credit; Chapter 15: Introduction to Part IV; Chapter 16: Credit Valuation; The Approach; The Firm's Value; Loan Default; Debt Structure; Capital Flows; Loan Pricing; Portfolio Diversification; Summary Chapter 17: Probability of Loss on Loan Portfolio Chapter 18: Limiting Loan Loss Probability Distribution; Chapter 19: Loan Portfolio Value; The Limiting Distribution of Portfolio Losses; Properties of the Loss Distribution; The Risk-Neutral Distribution; The Portfolio Market Value; Adjustment for Granularity; Summary; References; Chapter 20: The Empirical Test of the Distribution of Loan Portfolio Losses; Part Five: Markets, Portfolios, and Securities; Chapter 21: Introduction to Part V; Chapter 22: The Efficient Market Model; Introduction and Summary; Risk, Risk Aversion, and Compensation Measurement of Risk and Return Efficient Market Hypothesis; The Role of the Portfolio in Risk Reduction; The Capital Asset Pricing Model; Generalization of the Model; Conclusion; References; Chapter 23: A Risk Minimizing Strategy for Portfolio Immunization; Abstract; Introduction; Immunization Risk; Appendix: Proof of the Theorem; References; Chapter 24: The Trade off between Return and Risk in Immunized Portfolios; Abstract; Introduction; Portfolio Value and Interest Rate Changes; Immunization Risk; Confidence Intervals; Risk and Return; References Chapter 25: Bond Performance: Analyzing Sources of Return |
| Record Nr. | UNINA-9910808116003321 |
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Vasicek Oldrich Alfons
|
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| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial aggregation and index number theory [[electronic resource] /] / William A. Barnett, Marcelle Chauvet
| Financial aggregation and index number theory [[electronic resource] /] / William A. Barnett, Marcelle Chauvet |
| Autore | Barnett William A |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific Pub., c2011 |
| Descrizione fisica | 1 online resource (278 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) | ChauvetMarcelle |
| Collana | Surveys on theories in economics and business administration |
| Soggetto topico |
Index numbers (Economics)
Finance - Mathematical models Monetary policy - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-14833-1
9786613148339 981-4293-10-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; Introduction; 1 International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview; 2 The Exact Theoretical Rational Expectations Monetary Aggregate; 3 On User Costs of Risky Monetary Assets; 4 The Discounted Economic Stock of Money with VAR Forecasting; 5 Exchange Rate Determination from Monetary Fundamentals: An Aggregation Theoretic Approach; 6 Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries; 7 Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach; References; Author Index |
| Record Nr. | UNINA-9910461316503321 |
|
Barnett William A
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| Hackensack, N.J., : World Scientific Pub., c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial aggregation and index number theory [[electronic resource] /] / William A. Barnett, Marcelle Chauvet
| Financial aggregation and index number theory [[electronic resource] /] / William A. Barnett, Marcelle Chauvet |
| Autore | Barnett William A |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific Pub., c2011 |
| Descrizione fisica | 1 online resource (278 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) | ChauvetMarcelle |
| Collana | Surveys on theories in economics and business administration |
| Soggetto topico |
Index numbers (Economics)
Finance - Mathematical models Monetary policy - Mathematical models |
| ISBN |
1-283-14833-1
9786613148339 981-4293-10-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; Introduction; 1 International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview; 2 The Exact Theoretical Rational Expectations Monetary Aggregate; 3 On User Costs of Risky Monetary Assets; 4 The Discounted Economic Stock of Money with VAR Forecasting; 5 Exchange Rate Determination from Monetary Fundamentals: An Aggregation Theoretic Approach; 6 Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries; 7 Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach; References; Author Index |
| Record Nr. | UNINA-9910789410403321 |
|
Barnett William A
|
||
| Hackensack, N.J., : World Scientific Pub., c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial aggregation and index number theory / / William A. Barnett, Marcelle Chauvet
| Financial aggregation and index number theory / / William A. Barnett, Marcelle Chauvet |
| Autore | Barnett William A |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific Pub., c2011 |
| Descrizione fisica | 1 online resource (278 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) | ChauvetMarcelle |
| Collana | Surveys on theories in economics and business administration |
| Soggetto topico |
Index numbers (Economics)
Finance - Mathematical models Monetary policy - Mathematical models |
| ISBN |
1-283-14833-1
9786613148339 981-4293-10-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; Introduction; 1 International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview; 2 The Exact Theoretical Rational Expectations Monetary Aggregate; 3 On User Costs of Risky Monetary Assets; 4 The Discounted Economic Stock of Money with VAR Forecasting; 5 Exchange Rate Determination from Monetary Fundamentals: An Aggregation Theoretic Approach; 6 Multilateral Aggregation-Theoretic Monetary Aggregation over Heterogeneous Countries; 7 Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach; References; Author Index |
| Record Nr. | UNINA-9910814580703321 |
|
Barnett William A
|
||
| Hackensack, N.J., : World Scientific Pub., c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial econometrics [[electronic resource] ] : from basics to advanced modeling techniques / / Svetlozar T. Rachev ... [et al.]
| Financial econometrics [[electronic resource] ] : from basics to advanced modeling techniques / / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2007 |
| Descrizione fisica | 1 online resource (575 p.) |
| Disciplina | 332.015195 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Econometrics
Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20184-5
1-280-82711-4 9786610827114 0-470-12152-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Econometrics: From Basics to Advanced Modeling Techniques; Contents; Preface; Abbreviations and Acronyms; About the Authors; Chapter 1: Financial Econometrics: Scope and Methods; THE DATA GENERATING PROCESS; FINANCIAL ECONOMETRICS AT WORK; TIME HORIZON OF MODELS; APPLICATIONS; APPENDIX: INVESTMENT MANAGEMENT PROCESS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 2: Review of Probability and Statistics; CONCEPTS OF PROBABILITY; PRINCIPLES OF ESTIMATION; BAYESIAN MODELING; APPENDIX A: INFORMATION STRUCTURES; APPENDIX B: FILTRATION
CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION)Chapter 3: Regression Analysis: Theory and Estimation; THE CONCEPT OF DEPENDENCE; REGRESSIONS AND LINEAR MODELS; ESTIMATION OF LINEAR REGRESSIONS; SAMPLING DISTRIBUTIONS OF REGRESSIONS; DETERMINING THE EXPLANATORY POWER OF A REGRESSION; USING REGRESSION ANALYSIS IN FINANCE; STEPWISE REGRESSION; NONNORMALITY AND AUTOCORRELATION OF THE RESIDUALS; PITFALLS OF REGRESSIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 4: Selected Topics in Regression Analysis; CATEGORICAL AND DUMMY VARIABLES IN REGRESSION MODELS CONSTRAINED LEAST SQUARESTHE METHOD OF MOMENTS AND ITS GENERALIZATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 5: Regression Applications in Finance; APPLICATIONS TO THE INVESTMENT MANAGEMENT PROCESS; A TEST OF STRONG-FORM PRICING EFFICIENCY; TESTS OF THE CAPM; USING THE CAPM TO EVALUATE MANAGER PERFORMANCE: THE JENSEN MEASURE; EVIDENCE FOR MULTIFACTOR MODELS; BENCHMARK SELECTION: SHARPE BENCHMARKS; RETURN-BASED STYLE ANALYSIS FOR HEDGE FUNDS; HEDGE FUND SURVIVAL; BOND PORTFOLIO APPLICATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) Chapter 6: Modeling Univariate Time SeriesDIFFERENCE EQUATIONS; TERMINOLOGY AND DEFINITIONS; STATIONARITY AND INVERTIBILITY OF ARMA PROCESSES; LINEAR PROCESSES; IDENTIFICATION TOOLS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 7: Approaches to ARIMA Modeling and Forecasting; OVERVIEW OF BOX-JENKINS PROCEDURE; IDENTIFICATION OF DEGREE OF DIFFERENCING; IDENTIFICATION OF LAG ORDERS; MODEL ESTIMATION; DIAGNOSTIC CHECKING; FORECASTING; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 8: Autoregressive Conditional Heteroskedastic Models; ARCH PROCESS GARCH PROCESSESTIMATION OF THE GARCH MODELS; STATIONARY ARMA-GARCH MODELS; LAGRANGE MULTIPLIER TEST; VARIANTS OF THE GARCH MODEL; GARCH MODEL WITH STUDENT'S; DISTRIBUTED INNOVATIONS; MULTIVARIATE GARCH FORMULATIONS; APPENDIX: ANALYSIS OF THE PROPERTIES OF THE GARCH(1,1) MODEL; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 9: Vector Autoregressive Models I; VAR MODELS DEFINED; STATIONARY AUTOREGRESSIVE DISTRIBUTED LAG MODELS; VECTOR AUTOREGRESSIVE MOVING AVERAGE MODELS; FORECASTING WITH VAR MODELS; APPENDIX: EIGENVECTORS AND EIGENVALUES CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) |
| Record Nr. | UNINA-9910143418203321 |
| Hoboken, N.J., : Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial econometrics [[electronic resource] ] : from basics to advanced modeling techniques / / Svetlozar T. Rachev ... [et al.]
| Financial econometrics [[electronic resource] ] : from basics to advanced modeling techniques / / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2007 |
| Descrizione fisica | 1 online resource (575 p.) |
| Disciplina | 332.015195 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Econometrics
Finance - Mathematical models |
| ISBN |
1-119-20184-5
1-280-82711-4 9786610827114 0-470-12152-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Econometrics: From Basics to Advanced Modeling Techniques; Contents; Preface; Abbreviations and Acronyms; About the Authors; Chapter 1: Financial Econometrics: Scope and Methods; THE DATA GENERATING PROCESS; FINANCIAL ECONOMETRICS AT WORK; TIME HORIZON OF MODELS; APPLICATIONS; APPENDIX: INVESTMENT MANAGEMENT PROCESS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 2: Review of Probability and Statistics; CONCEPTS OF PROBABILITY; PRINCIPLES OF ESTIMATION; BAYESIAN MODELING; APPENDIX A: INFORMATION STRUCTURES; APPENDIX B: FILTRATION
CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION)Chapter 3: Regression Analysis: Theory and Estimation; THE CONCEPT OF DEPENDENCE; REGRESSIONS AND LINEAR MODELS; ESTIMATION OF LINEAR REGRESSIONS; SAMPLING DISTRIBUTIONS OF REGRESSIONS; DETERMINING THE EXPLANATORY POWER OF A REGRESSION; USING REGRESSION ANALYSIS IN FINANCE; STEPWISE REGRESSION; NONNORMALITY AND AUTOCORRELATION OF THE RESIDUALS; PITFALLS OF REGRESSIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 4: Selected Topics in Regression Analysis; CATEGORICAL AND DUMMY VARIABLES IN REGRESSION MODELS CONSTRAINED LEAST SQUARESTHE METHOD OF MOMENTS AND ITS GENERALIZATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 5: Regression Applications in Finance; APPLICATIONS TO THE INVESTMENT MANAGEMENT PROCESS; A TEST OF STRONG-FORM PRICING EFFICIENCY; TESTS OF THE CAPM; USING THE CAPM TO EVALUATE MANAGER PERFORMANCE: THE JENSEN MEASURE; EVIDENCE FOR MULTIFACTOR MODELS; BENCHMARK SELECTION: SHARPE BENCHMARKS; RETURN-BASED STYLE ANALYSIS FOR HEDGE FUNDS; HEDGE FUND SURVIVAL; BOND PORTFOLIO APPLICATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) Chapter 6: Modeling Univariate Time SeriesDIFFERENCE EQUATIONS; TERMINOLOGY AND DEFINITIONS; STATIONARITY AND INVERTIBILITY OF ARMA PROCESSES; LINEAR PROCESSES; IDENTIFICATION TOOLS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 7: Approaches to ARIMA Modeling and Forecasting; OVERVIEW OF BOX-JENKINS PROCEDURE; IDENTIFICATION OF DEGREE OF DIFFERENCING; IDENTIFICATION OF LAG ORDERS; MODEL ESTIMATION; DIAGNOSTIC CHECKING; FORECASTING; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 8: Autoregressive Conditional Heteroskedastic Models; ARCH PROCESS GARCH PROCESSESTIMATION OF THE GARCH MODELS; STATIONARY ARMA-GARCH MODELS; LAGRANGE MULTIPLIER TEST; VARIANTS OF THE GARCH MODEL; GARCH MODEL WITH STUDENT'S; DISTRIBUTED INNOVATIONS; MULTIVARIATE GARCH FORMULATIONS; APPENDIX: ANALYSIS OF THE PROPERTIES OF THE GARCH(1,1) MODEL; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 9: Vector Autoregressive Models I; VAR MODELS DEFINED; STATIONARY AUTOREGRESSIVE DISTRIBUTED LAG MODELS; VECTOR AUTOREGRESSIVE MOVING AVERAGE MODELS; FORECASTING WITH VAR MODELS; APPENDIX: EIGENVECTORS AND EIGENVALUES CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) |
| Record Nr. | UNINA-9910830330203321 |
| Hoboken, N.J., : Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial econometrics : from basics to advanced modeling techniques / / Svetlozar T. Rachev ... [et al.]
| Financial econometrics : from basics to advanced modeling techniques / / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2007 |
| Descrizione fisica | 1 online resource (575 p.) |
| Disciplina | 332.015195 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | Frank J. Fabozzi series |
| Soggetto topico |
Econometrics
Finance - Mathematical models |
| ISBN |
1-119-20184-5
1-280-82711-4 9786610827114 0-470-12152-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Econometrics: From Basics to Advanced Modeling Techniques; Contents; Preface; Abbreviations and Acronyms; About the Authors; Chapter 1: Financial Econometrics: Scope and Methods; THE DATA GENERATING PROCESS; FINANCIAL ECONOMETRICS AT WORK; TIME HORIZON OF MODELS; APPLICATIONS; APPENDIX: INVESTMENT MANAGEMENT PROCESS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 2: Review of Probability and Statistics; CONCEPTS OF PROBABILITY; PRINCIPLES OF ESTIMATION; BAYESIAN MODELING; APPENDIX A: INFORMATION STRUCTURES; APPENDIX B: FILTRATION
CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION)Chapter 3: Regression Analysis: Theory and Estimation; THE CONCEPT OF DEPENDENCE; REGRESSIONS AND LINEAR MODELS; ESTIMATION OF LINEAR REGRESSIONS; SAMPLING DISTRIBUTIONS OF REGRESSIONS; DETERMINING THE EXPLANATORY POWER OF A REGRESSION; USING REGRESSION ANALYSIS IN FINANCE; STEPWISE REGRESSION; NONNORMALITY AND AUTOCORRELATION OF THE RESIDUALS; PITFALLS OF REGRESSIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 4: Selected Topics in Regression Analysis; CATEGORICAL AND DUMMY VARIABLES IN REGRESSION MODELS CONSTRAINED LEAST SQUARESTHE METHOD OF MOMENTS AND ITS GENERALIZATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 5: Regression Applications in Finance; APPLICATIONS TO THE INVESTMENT MANAGEMENT PROCESS; A TEST OF STRONG-FORM PRICING EFFICIENCY; TESTS OF THE CAPM; USING THE CAPM TO EVALUATE MANAGER PERFORMANCE: THE JENSEN MEASURE; EVIDENCE FOR MULTIFACTOR MODELS; BENCHMARK SELECTION: SHARPE BENCHMARKS; RETURN-BASED STYLE ANALYSIS FOR HEDGE FUNDS; HEDGE FUND SURVIVAL; BOND PORTFOLIO APPLICATIONS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) Chapter 6: Modeling Univariate Time SeriesDIFFERENCE EQUATIONS; TERMINOLOGY AND DEFINITIONS; STATIONARITY AND INVERTIBILITY OF ARMA PROCESSES; LINEAR PROCESSES; IDENTIFICATION TOOLS; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 7: Approaches to ARIMA Modeling and Forecasting; OVERVIEW OF BOX-JENKINS PROCEDURE; IDENTIFICATION OF DEGREE OF DIFFERENCING; IDENTIFICATION OF LAG ORDERS; MODEL ESTIMATION; DIAGNOSTIC CHECKING; FORECASTING; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 8: Autoregressive Conditional Heteroskedastic Models; ARCH PROCESS GARCH PROCESSESTIMATION OF THE GARCH MODELS; STATIONARY ARMA-GARCH MODELS; LAGRANGE MULTIPLIER TEST; VARIANTS OF THE GARCH MODEL; GARCH MODEL WITH STUDENT'S; DISTRIBUTED INNOVATIONS; MULTIVARIATE GARCH FORMULATIONS; APPENDIX: ANALYSIS OF THE PROPERTIES OF THE GARCH(1,1) MODEL; CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION); Chapter 9: Vector Autoregressive Models I; VAR MODELS DEFINED; STATIONARY AUTOREGRESSIVE DISTRIBUTED LAG MODELS; VECTOR AUTOREGRESSIVE MOVING AVERAGE MODELS; FORECASTING WITH VAR MODELS; APPENDIX: EIGENVECTORS AND EIGENVALUES CONCEPTS EXPLAINED IN THIS CHAPTER (IN ORDER OF PRESENTATION) |
| Record Nr. | UNINA-9910877165303321 |
| Hoboken, N.J., : Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
