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

Format:

Book

Author/Creator:

Alexander, Carol.

Series:

Wiley finance series.

The Wiley Finance Series ; v.2

Language:

English

Subjects (All):

Risk management.

Hedging (Finance).

Physical Description:

1 online resource (430 p.)

Edition:

1st edition

Place of Publication:

Chichester, England ; Hoboken, NJ : Wiley, 2008.

Language Note:

English

System Details:

text file

Summary:

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

Contents:

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

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on metadata supplied by the publisher and other sources.

ISBN:

9786612349973

9781282349971

128234997X

9780470771037

0470771038

OCLC:

781257600