Miss Selfridge

Market Risk Analysis, Practical Financial Econometrics

Description: 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. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Price: 46.48 USD

Location: Pacific Grove, California

End Time: 2024-11-30T20:10:49.000Z

Shipping Cost: 6.38 USD

Product Images

Market Risk Analysis, Practical Financial Econometrics

Item Specifics

Return shipping will be paid by: Buyer

All returns accepted: Returns Accepted

Item must be returned within: 30 Days

Refund will be given as: Money Back

Return policy details:

price: 41.08

yearPublished: 2008

Author: Alexander, Carol

Book Title: Market Risk Analysis, Practical Financial Econometrics

Language: English

Format: Hardcover

Recommended

Market Risk Analysis, Practical Financial Econometrics
Market Risk Analysis, Practical Financial Econometrics

$46.17

View Details
Market Mind Games: A Radical Psychology of Investing, Trading and Risk
Market Mind Games: A Radical Psychology of Investing, Trading and Risk

$10.00

View Details
McNally's Risk (Archy McNally Novels) - Mass Market Paperback - GOOD
McNally's Risk (Archy McNally Novels) - Mass Market Paperback - GOOD

$3.72

View Details
Lethal Risk - Mass Market Paperback By Watford, WH - ACCEPTABLE
Lethal Risk - Mass Market Paperback By Watford, WH - ACCEPTABLE

$4.39

View Details
Not Without Risk - Mass Market Paperback By Suzanne Brockmann - VERY GOOD
Not Without Risk - Mass Market Paperback By Suzanne Brockmann - VERY GOOD

$4.39

View Details
TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets by Vineer...
TAIL RISK HEDGING: Creating Robust Portfolios for Volatile Markets by Vineer...

$73.09

View Details
MAKING IT IN THE MARKET LOW-RISK SYSTEM FOR STOCK MARKET INVESTORS - RICHARD NEY
MAKING IT IN THE MARKET LOW-RISK SYSTEM FOR STOCK MARKET INVESTORS - RICHARD NEY

$49.95

View Details
The Professional Risk Managers' Guide to Financial Markets (PRMIA Ri - VERY GOOD
The Professional Risk Managers' Guide to Financial Markets (PRMIA Ri - VERY GOOD

$8.42

View Details
Guide to World Markets Ser.: Managing Foreign Exchange Risk : Strategies for...
Guide to World Markets Ser.: Managing Foreign Exchange Risk : Strategies for...

$10.00

View Details
Risk by Dick Francis (1993, Mass Market)
Risk by Dick Francis (1993, Mass Market)

$0.99

View Details