Market risk analysis . Volume 2 Practical financial econometrics / / Carol Alexander

• Autore: Alexander Carol
• Pubblicazione: Chichester, England ; ; Hoboken, NJ, : Wiley, 2008
• Edizione: 1st edition
• Descrizione fisica: 1 online resource (430 p.)
• Disciplina: 332.015195; 332.6
• Soggetto topico: Risk management; Hedging (Finance)
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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; Plates
• Sommario/riassunto: Written 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 empirical
• Titolo autorizzato: Market risk analysis
• ISBN: 9786612349973; 9781282349971; 128234997X; 9780470771037; 0470771038
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910967379003321
• Lo trovi qui: Univ. Federico II
• Serie: Wiley finance series.