Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Bayesian methods in finance [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Bayesian methods in finance [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (351 p.) |
| Disciplina |
332
332.01519542 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Finance - Mathematical models
Bayesian statistical decision theory |
| ISBN |
1-119-20214-0
1-281-21726-3 9786611217266 0-470-24924-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bayesian Methods in Finance; Contents; Preface; About the Authors; CHAPTER 1 Introduction; A FEW NOTES ON NOTATION; OVERVIEW; CHAPTER 2 The Bayesian Paradigm; THE LIKELIHOOD FUNCTION; THE BAYES' THEOREM; SUMMARY; CHAPTER 3 Prior and Posterior Information, Predictive Inference; PRIOR INFORMATION; POSTERIOR INFERENCE; BAYESIAN PREDICTIVE INFERENCE; ILLUSTRATION: POSTERIOR TRADE-OFF AND THENORMAL MEAN PARAMETER; SUMMARY; APPENDIX: DEFINITIONS OF SOME UNIVARIATE AND MULTIVARIATE STATISTICAL DISTRIBUTIONS; CHAPTER 4 Bayesian Linear Regression Model; THE UNIVARIATE LINEAR REGRESSION MODEL
THE MULTIVARIATE LINEAR REGRESSION MODELSUMMARY; CHAPTER 5 Bayesian Numerical Computation; MONTE CARLO INTEGRATION; ALGORITHMS FOR POSTERIOR SIMULATION; APPROXIMATION METHODS: LOGISTIC REGRESSION; SUMMARY; CHAPTER 6 Bayesian Framework for Portfolio Allocation; CLASSICAL PORTFOLIO SELECTION; BAYESIAN PORTFOLIO SELECTION; SHRINKAGE ESTIMATORS; UNEQUAL HISTORIES OF RETURNS; SUMMARY; CHAPTER 7 Prior Beliefs and Asset Pricing Models; PRIOR BELIEFS AND ASSET PRICING MODELS; MODEL UNCERTAINTY; SUMMARY; APPENDIX A: NUMERICAL SIMULATION OF THE PREDICTIVE DISTRIBUTION APPENDIX B: LIKELIHOOD FUNCTION OF A CANDIDATE MODELCHAPTER 8 The Black-Litterman Portfolio Selection Framework; PRELIMINARIES; COMBINING MARKET EQUILIBRIUM AND INVESTOR VIEWS; THE CHOICE OF τ AND ω; THE OPTIMAL PORTFOLIO ALLOCATION; INCORPORATING TRADING STRATEGIES INTO THE BLACK-LITTERMAN MODEL; ACTIVE PORTFOLIO MANAGEMENT AND THE BLACK-LITTERMAN MODEL; COVARIANCE MATRIX ESTIMATION; SUMMARY; CHAPTER 9 Market Efficiency and Return Predictability; TESTS OF MEAN-VARIANCE EFFICIENCY; INEFFICIENCY MEASURES IN TESTING THE CAPM; TESTING THE APT; RETURN PREDICTABILITY ILLUSTRATION: PREDICTABILITY AND THE INVESTMENT HORIZONSUMMARY; APPENDIX: VECTOR AUTOREGRESSIVE SETUP; CHAPTER 10 Volatility Models; GARCH MODELS OF VOLATILITY; STOCHASTIC VOLATILITY MODELS; ILLUSTRATION: FORECASTING VALUE-AT-RISK; AN ARCH-TYPE MODEL OR A STOCHASTIC VOLATILITY MODEL?; WHERE DO BAYESIAN METHODS FIT?; CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models; BAYESIAN ESTIMATION OF THE SIMPLE GARCH(1,1) MODEL; MARKOV REGIME-SWITCHING GARCH MODELS; SUMMARY; APPENDIX: GRIDDY GIBBS SAMPLER; CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models PRELIMINARIES OF SV MODEL ESTIMATIONTHE SINGLE-MOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; THE MULTIMOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; JUMP EXTENSION OF THE SIMPLE SV MODEL; VOLATILITY FORECASTING AND RETURN PREDICTION; SUMMARY; APPENDIX: KALMAN FILTERING AND SMOOTHING; CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection; DISTRIBUTIONAL RETURN ASSUMPTIONS ALTERNATIVE TO NORMALITY; PORTFOLIO SELECTION IN THE SETTING OF NONNORMALITY: PRELIMINARIES; MAXIMIZATION OF UTILITY WITH HIGHER MOMENTS; EXTENDING THE BLACK-LITTERMAN APPROACH: COPULA OPINION POOLING EXTENDING THE BLACK-LITTERMAN APPROACH: STABLE DISTRIBUTION |
| Record Nr. | UNINA-9910145695803321 |
| Hoboken, N.J., : Wiley, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bayesian methods in finance [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Bayesian methods in finance [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2008 |
| Descrizione fisica | 1 online resource (351 p.) |
| Disciplina |
332
332.01519542 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Finance - Mathematical models
Bayesian statistical decision theory |
| ISBN |
1-119-20214-0
1-281-21726-3 9786611217266 0-470-24924-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Bayesian Methods in Finance; Contents; Preface; About the Authors; CHAPTER 1 Introduction; A FEW NOTES ON NOTATION; OVERVIEW; CHAPTER 2 The Bayesian Paradigm; THE LIKELIHOOD FUNCTION; THE BAYES' THEOREM; SUMMARY; CHAPTER 3 Prior and Posterior Information, Predictive Inference; PRIOR INFORMATION; POSTERIOR INFERENCE; BAYESIAN PREDICTIVE INFERENCE; ILLUSTRATION: POSTERIOR TRADE-OFF AND THENORMAL MEAN PARAMETER; SUMMARY; APPENDIX: DEFINITIONS OF SOME UNIVARIATE AND MULTIVARIATE STATISTICAL DISTRIBUTIONS; CHAPTER 4 Bayesian Linear Regression Model; THE UNIVARIATE LINEAR REGRESSION MODEL
THE MULTIVARIATE LINEAR REGRESSION MODELSUMMARY; CHAPTER 5 Bayesian Numerical Computation; MONTE CARLO INTEGRATION; ALGORITHMS FOR POSTERIOR SIMULATION; APPROXIMATION METHODS: LOGISTIC REGRESSION; SUMMARY; CHAPTER 6 Bayesian Framework for Portfolio Allocation; CLASSICAL PORTFOLIO SELECTION; BAYESIAN PORTFOLIO SELECTION; SHRINKAGE ESTIMATORS; UNEQUAL HISTORIES OF RETURNS; SUMMARY; CHAPTER 7 Prior Beliefs and Asset Pricing Models; PRIOR BELIEFS AND ASSET PRICING MODELS; MODEL UNCERTAINTY; SUMMARY; APPENDIX A: NUMERICAL SIMULATION OF THE PREDICTIVE DISTRIBUTION APPENDIX B: LIKELIHOOD FUNCTION OF A CANDIDATE MODELCHAPTER 8 The Black-Litterman Portfolio Selection Framework; PRELIMINARIES; COMBINING MARKET EQUILIBRIUM AND INVESTOR VIEWS; THE CHOICE OF τ AND ω; THE OPTIMAL PORTFOLIO ALLOCATION; INCORPORATING TRADING STRATEGIES INTO THE BLACK-LITTERMAN MODEL; ACTIVE PORTFOLIO MANAGEMENT AND THE BLACK-LITTERMAN MODEL; COVARIANCE MATRIX ESTIMATION; SUMMARY; CHAPTER 9 Market Efficiency and Return Predictability; TESTS OF MEAN-VARIANCE EFFICIENCY; INEFFICIENCY MEASURES IN TESTING THE CAPM; TESTING THE APT; RETURN PREDICTABILITY ILLUSTRATION: PREDICTABILITY AND THE INVESTMENT HORIZONSUMMARY; APPENDIX: VECTOR AUTOREGRESSIVE SETUP; CHAPTER 10 Volatility Models; GARCH MODELS OF VOLATILITY; STOCHASTIC VOLATILITY MODELS; ILLUSTRATION: FORECASTING VALUE-AT-RISK; AN ARCH-TYPE MODEL OR A STOCHASTIC VOLATILITY MODEL?; WHERE DO BAYESIAN METHODS FIT?; CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models; BAYESIAN ESTIMATION OF THE SIMPLE GARCH(1,1) MODEL; MARKOV REGIME-SWITCHING GARCH MODELS; SUMMARY; APPENDIX: GRIDDY GIBBS SAMPLER; CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models PRELIMINARIES OF SV MODEL ESTIMATIONTHE SINGLE-MOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; THE MULTIMOVE MCMC ALGORITHM FOR SV MODEL ESTIMATION; JUMP EXTENSION OF THE SIMPLE SV MODEL; VOLATILITY FORECASTING AND RETURN PREDICTION; SUMMARY; APPENDIX: KALMAN FILTERING AND SMOOTHING; CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection; DISTRIBUTIONAL RETURN ASSUMPTIONS ALTERNATIVE TO NORMALITY; PORTFOLIO SELECTION IN THE SETTING OF NONNORMALITY: PRELIMINARIES; MAXIMIZATION OF UTILITY WITH HIGHER MOMENTS; EXTENDING THE BLACK-LITTERMAN APPROACH: COPULA OPINION POOLING EXTENDING THE BLACK-LITTERMAN APPROACH: STABLE DISTRIBUTION |
| Record Nr. | UNINA-9910817059303321 |
| Hoboken, N.J., : Wiley, c2008 | ||
| 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 [[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-9910840869503321 |
| Hoboken, N.J., : Wiley, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models
CHAPTER 12 Smoothly Truncated Stable GARCH Models CHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index |
| Record Nr. | UNINA-9910139212303321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.]
| Financial models with Lévy processes and volatility clustering [[electronic resource] /] / Svetlozar T. Rachev ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2011 |
| Descrizione fisica | 1 online resource (416 p.) |
| Disciplina |
332.0415015192
332/.0415015192 |
| Altri autori (Persone) | RachevS. T (Svetlozar Todorov) |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Capital assets pricing model
Lévy processes Finance - Mathematical models Probabilities |
| ISBN |
1-283-02564-7
9786613025647 1-118-26807-5 0-470-93716-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Models with Levy Processes and Volatility Clustering; Contents; Preface; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Probability Distributions; CHAPTER 3 Stable and Tempered Stable Distributions; CHAPTER 4 Stochastic Processes in Continuous Time; CHAPTER 5 Conditional Expectation and Change of Measure; CHAPTER 6 Exponential Levy Models; CHAPTER 7 Option Pricing in Exponential L ́evy Models; CHAPTER 8 Simulation; CHAPTER 9 Multi-Tail t-Distribution; CHAPTER 10 Non-Gaussian Portfolio Allocation; CHAPTER 11 Normal GARCH models
CHAPTER 12 Smoothly Truncated Stable GARCH Models CHAPTER 13 Infinitely Divisible GARCH Models; CHAPTER 14 Option Pricing with Monte Carlo Methods; CHAPTER 15 American Option Pricing with Monte Carlo Methods; Index |
| Record Nr. | UNINA-9910807814803321 |
| Hoboken, NJ, : Wiley, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi
| Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi |
| Autore | Chernobai Anna S |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2007 |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 658.155 |
| Altri autori (Persone) |
RachevS. T (Svetlozar Todorov)
FabozziFrank J |
| Collana | Frank J. Fabozzi Series |
| Soggetto topico |
Bank management
Risk management Operational risk |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20192-6
1-280-90121-7 9786610901210 0-470-14878-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk; Contents; Preface; About the Authors; Chapter 1: Operational Risk Is Not Just ''Other'' Risks; Chapter 2: Operational Risk: Definition, Classification, and Its Place among Other Risks; Chapter 3: Basel II Capital Accord; Chapter 4: Key Challenges in Modeling Operational Risk; Chapter 5: Frequency Distributions; Chapter 6: Loss Distributions; Chapter 7: Alpha-Stable Distributions; Chapter 8: Extreme Value Theory; Chapter 9: Truncated Distributions; Chapter 10: Testing for the Goodness of Fit; Chapter 11: Value-at-Risk; Chapter 12: Robust Modeling
Chapter 13: Modeling DependenceIndex |
| Record Nr. | UNINA-9910143416903321 |
Chernobai Anna S
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, , 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi
| Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi |
| Autore | Chernobai Anna S |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2007 |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 658.155 |
| Altri autori (Persone) |
RachevS. T (Svetlozar Todorov)
FabozziFrank J |
| Collana | Frank J. Fabozzi Series |
| Soggetto topico |
Bank management
Risk management Operational risk |
| ISBN |
1-119-20192-6
1-280-90121-7 9786610901210 0-470-14878-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk; Contents; Preface; About the Authors; Chapter 1: Operational Risk Is Not Just ''Other'' Risks; Chapter 2: Operational Risk: Definition, Classification, and Its Place among Other Risks; Chapter 3: Basel II Capital Accord; Chapter 4: Key Challenges in Modeling Operational Risk; Chapter 5: Frequency Distributions; Chapter 6: Loss Distributions; Chapter 7: Alpha-Stable Distributions; Chapter 8: Extreme Value Theory; Chapter 9: Truncated Distributions; Chapter 10: Testing for the Goodness of Fit; Chapter 11: Value-at-Risk; Chapter 12: Robust Modeling
Chapter 13: Modeling DependenceIndex |
| Record Nr. | UNINA-9910830031803321 |
|
Chernobai Anna S
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, , 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi
| Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi |
| Autore | Chernobai Anna S |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2007 |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 658.155 |
| Altri autori (Persone) |
RachevS. T (Svetlozar Todorov)
FabozziFrank J |
| Collana | Frank J. Fabozzi Series |
| Soggetto topico |
Bank management
Risk management Operational risk |
| ISBN |
1-119-20192-6
1-280-90121-7 9786610901210 0-470-14878-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Operational Risk; Contents; Preface; About the Authors; Chapter 1: Operational Risk Is Not Just ''Other'' Risks; Chapter 2: Operational Risk: Definition, Classification, and Its Place among Other Risks; Chapter 3: Basel II Capital Accord; Chapter 4: Key Challenges in Modeling Operational Risk; Chapter 5: Frequency Distributions; Chapter 6: Loss Distributions; Chapter 7: Alpha-Stable Distributions; Chapter 8: Extreme Value Theory; Chapter 9: Truncated Distributions; Chapter 10: Testing for the Goodness of Fit; Chapter 11: Value-at-Risk; Chapter 12: Robust Modeling
Chapter 13: Modeling DependenceIndex |
| Record Nr. | UNINA-9910841507103321 |
|
Chernobai Anna S
|
||
| Hoboken, New Jersey : , : John Wiley & Sons, , 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
