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

By:

Alexander, Carol (Economist)

Material type: Text

TextSeries: Wiley finance seriesPublication details: Chichester, England ; Hoboken, NJ : Wiley, 2008.Description: 1 online resource (xxx, 396 pages, 2 unnumbered pages of plates) : illustrations (some color)Content type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

0470771038
9780470771037
9786612349973
6612349972

Subject(s):

Genre/Form:

Additional physical formats: Print version:: Market risk analysis.DDC classification:

658.155 22

LOC classification:

HD61 .A4192 2008eb

Online resources:

Click here to access online

Contents:

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.

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 example is given, and whenever possible this is illustrated with an Excel spreadsheet.

Item type:

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Includes bibliographical references and index.

Print version record.

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 example is given, and whenever possible this is illustrated with an Excel spreadsheet.

English.

eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - Worldwide

There are no comments on this title.

to post a comment.