Handbook of volatility models and their applications / edited by Luc Bauwens, Christian Hafner, Sebastien Laurent.

Format:

Book

Contributor:

Bauwens, Luc, 1952-

Hafner, Christian.

Laurent, Sébastien, 1974-

Series:

Wiley handbooks in financial engineering and econometrics

Language:

English

Subjects (All):

Banks and banking--Econometric models.

Banks and banking.

Finance--Econometric models.

Finance.

GARCH model.

Physical Description:

xx, 543 pages : illustrations ; 25 cm.

Place of Publication:

Hoboken, N.J. : Wiley, [2012]

Summary:

"The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial industries, both at home and abroad, through use of real-world, time-sensitive applications. Conceived and written by over two-dozen experts in the field, the focus is to cohesively demonstrate how "volatile" certain statistical decision-making techniques can be when solving a range of financial problems. By using examples derived from consulting projects, current research and course instruction, each chapter in the book offers a systematic understanding of the recent advances in volatility modeling related to real-world situations. Every effort is made to present a balanced treatment between theory and practice, as well as to showcase how accuracy and efficiency in implementing various methods can be used as indispensable tools in assessing volatility rates. Unique to the book is in-depth coverage of GARCH-family models, contagion, and model comparisons between different volatility models. To by-pass tedious computation, software illustrations are presented in an assortment of packages, ranging from R, C++, EXCEL-VBA, Minitab, to JMP/SAS"-- Provided by publisher.

Notes:

Includes bibliographical references and index.

ISBN:

9780470872512

0470872519

OCLC:

759177354